We propose a new method to test for efficient risk pooling that allows for intertemporal smoothing, non …-homothetic consumption, and heterogeneous risk and time preferences. The method is composed of three steps. The first one allows for … precautionary savings by the aggregate risk pooling group. The second utilizes the inverse Engel curve to estimate good …

We study the role of risk preferences and frictions in portfolio choice using variation in 401(k) default options … observed allocations. We use this quasi-experiment to estimate a life cycle model and find a relative risk aversion of 2, EIS …

-markets consumption allocation. There is substantial heterogeneity in risk preferences estimated from the full-insurance model, positively …We measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model and … village, full insurance cannot be rejected, suggesting that relatives provide something close to a complete …

Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …

claiming intentions. As expected from economic theory, individual differences in life expectations and degree of patience for …

.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …We test the relation between ambiguity aversion and five household portfolio choice puzzles: non- participation, low …

Heterogeneously risk-averse individuals who lack access to formal insurance build and use relationships with each other … to manage risk. I study the formation of these relationships. I show that the composition of equilibrium groups under … reduction in aggregate risk may lead to an increase in risk borne by the most risk-averse individuals, as the least risk …

options in defined contribution retirement plans. We document large differences in realized TDF returns and risk profiles …, even for funds with the same target retirement date. Using fund-level data, we find evidence that this heterogeneity … reflects optimal risk-taking by fund families with low market share, especially those entering the market after 2006. Using …

Can measured risk attitudes and associated structural models predict insurance demand? In an experiment (n = 1,730), we … various risk-attitude measures. Yet all the structural models predict insurance poorly, often less accurately than random … parameterize seventeen common structural models (e.g., expected utility, cumulative prospect theory). Subjects also make twelve …