This paper develops a method of estimating the coefficient of relative risk aversion (g) from data on labor supply. The …

of certainty equivalence can be misleading. Under more plausible specifications of preferences toward risk, uncertainty …

welfare functions, with intrapersonal frames replacing interpersonal types. Under paternalistic risk aversion or ambiguity …

extremely high risk aversion would achieve a higher expected utility by holding a portfolio of stocks rather than bonds …

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 …

, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a …

for the observed behavior of the stockmarket? Second, how risk averse are investors in the aggregate?We find that the … less so. Estimates of the index of relative risk aversion are obtained that put that parameter in the range of 3 to 4 …

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 …