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This paper studies equilibrium portfolio choice and asset returns using a new model of recursive preferences called optimal risk attitude utility. Our model is an extension of recursive expected utility that allows an individual to optimally select her risk aversion parameter in response to the...
Persistent link: https://www.econbiz.de/10012116795
The empirical finding that entrepreneurs tend to invest a large share of their wealth in their own firms despite comparably low returns and high risk has become known as the private equity premium puzzle. This paper provides evidence supporting the hypothesis that lower risk aversion of...
Persistent link: https://www.econbiz.de/10013158383
On-farm innovations have the potential to increase both agricultural productivity and income while mitigating environmental impacts. However, as adopting innovations can lead to risks, it is important to understand the role of farmers' risk attitudes. We quantified Dutch arable farmers' risk...
Persistent link: https://www.econbiz.de/10014500732
The empirical finding that entrepreneurs tend to invest a large share of their wealth in their own firms despite comparably low returns and high risk has become known as the private equity premium puzzle. This paper provides evidence supporting the hypothesis that lower risk aversion of...
Persistent link: https://www.econbiz.de/10003782603
The empirical finding that entrepreneurs tend to invest a large share of their wealth in their own firms despite comparably low returns and high risk has become known as the private equity premium puzzle. This paper provides evidence supporting the hypothesis that lower risk aversion of...
Persistent link: https://www.econbiz.de/10010271074
Persistent link: https://www.econbiz.de/10000993651
The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described by von Neumann and Morgenstern (1944) via a concave utility function, is considered to be a cornerstone of classical economics. Agents prefer a fixed profit over uncertain...
Persistent link: https://www.econbiz.de/10003635940
Persistent link: https://www.econbiz.de/10008807469
Persistent link: https://www.econbiz.de/10003408707
Recent empirical evidence suggests that the variance risk premium predicts aggregate stock market returns. We demonstrate that statistical finite sample biases cannot “explain” this apparent predictability. Further corroborating the existing evidence of the U.S., we show that country...
Persistent link: https://www.econbiz.de/10013115149