In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The … coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …

might lead to seemingly U-shaped relative risk aversion for a representative investor, as found empirically by Ait …-Sahilia and Lo (2000) and Jackwerth (2000). -- Portfolio choice ; Derived relative risk aversion ; Additive background risk … ; Multiplicative background risk …

wealth? and 3) Do entrepreneurs hold a smaller share of their financial assets in risky stock holdings? Results indicate that … entrepreneurs are financially conservative based on borrowing and savings questions but are more likely to assume risk for financial … gain. Consistent with earlier evidence that entrepreneurs save more, they also accumulate more wealth over time …

earnings risk and aggregate asset price risk, I show that changes in earnings dynamics account for a large part of the … less wealth. …

We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive … inside Europe we document substantial differences. Furthermore, average risk aversion is strongly correlated with the share … explainable by household characteristics as well as differences in risk aversion and a remainder. We employ the unexplained part …

's preference by a power utility function leading to constant relative risk aversion. We show that the loss in expected utility is … analytical results that show how the sparsity of the constrained portfolio depends on the coefficient of relative risk aversion …>-norm for each level of relative risk aversion …

may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty …

investors, ambiguity aversion generates strong home bias in equity holdings, regardless of beliefs in the CAPM or risk aversion …

-)variance of power plant profits. If investors are risk-averse, these differ- ences lead to divergent investment portfolios …, breaking the equivalence of price- and quantity-based policy instruments under risk-neutrality. Using the European power sector … with increasing risk aversion. …