-- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in … general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and … plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not …

household's attitudes toward risk, as shown in Swanson (2012). In this paper, I analyze how frictional labor markets affect that … analysis. Household risk aversion (as measured by willingness to pay to avoid a wealth shock) is higher: 1) in countries with … in Europe are large enough to play a substantial contributing role to risk aversion in those countries. Nevertheless …

This article develops two points. First, insurance against the risk of legal change is largely unavailable, primarily …

This paper introduces the concept of standard risk aversion. A von Neumann-Morgenstern utility function has standard … risk aversion if any risk makes a small reduction in wealth more painful (in the sense of an increased reduction in … expected utility) also makes any undesirable, independent risk more painful. It is shown that, given monotonicity and concavity …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

We distinguish the measure of risk aversion from the slope coefficient in the linear relationship between the mean … excess return on a stock index and its variance. Even when risk aversion is constant, the latter can vary significantly with …

which also incorporates two long-standing ideas in psychology: prospect theory, and evidence on how prior outcomes affect … risky choice. Consistent with prospect theory, the investor in our model derives utility not only from consumption levels …, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a …

long-run risks. With risk aversion of 4.7, the model matches major facts about asset prices, consumption, and dividends …

. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …