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Simulating the market coefficient of relative risk aversion
Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7
In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The …
Persistent link: https://www.econbiz.de/10010490408
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Risk Aversion and Wealth : Evidence from Person-to-Person Lending Portfolios
Paravisini, Daniel - 2015
elasticity of risk aversion to changes in wealth. We find that wealthier investors are more risk averse in the cross section, and … that investors become more risk averse after a negative housing wealth shock. Thus, investors exhibit preferences …
Persistent link: https://www.econbiz.de/10013039243
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Non-Emptyness of Stochastic Dominance Efficient Sets via Stochastic Spanning
Arvanitis, Stelios - 2017
We derive sufficient conditions for non-emptyness of the efficient set for Stochastic Dominance Relations, commonly applied in Economics and Finance, over sets of distributions on the real line. We do so via the use of the concept of stochastic spanning and its characterization via a saddle type...
Persistent link: https://www.econbiz.de/10012946120
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Wealth fluctuations and investment in risky assets : the UK micro evidence on households asset allocation
Payá, Ivan; Wang, Peng - In: Journal of empirical finance 38 (2016), pp. 221-235
Persistent link: https://www.econbiz.de/10011663298
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Genetic ability, wealth, and financial decision-making
Barth, Daniel; Papageorge, Nicholas W.; Thom, Kevin - 2017
attainment independently predict household wealth in the Health and Retirement Study (HRS). This relationship is partly explained … gradient in wealth.We show that individuals with lower genetic scores are more prone to reporting "extreme beliefs" (e … wealth disparities not only through education and higher earnings, but also through their impact on the ability to process …
Persistent link: https://www.econbiz.de/10011613150
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Adriaan Hendrik - 2010
may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …
Persistent link: https://www.econbiz.de/10011382430
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Risky assets in Europe and the US : risk vulnerability, risk aversion and economic environment
Bekhtiar, Karim; Fessler, Pirmin; Lindner, Peter - 2019
We use cross-country microdata to analyse the risk taking of households in Europe and the US. Concerning the extensive as well as the intensive margin of risky assets, European households differ substantially from US households; but also inside Europe we document substantial differences....
Persistent link: https://www.econbiz.de/10011997521
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Uncertain growth, ambiguity aversion and asset prices
Liu, Hening - 2011
I develop a stochastic growth model with production where there is a hidden state governing productivity growth regimes, and the hidden state evolves according to a Markov chain. Economic agents learn about the hidden state and display ambiguity aversion in the spirit of Klibanoff et al. (2005)....
Persistent link: https://www.econbiz.de/10009411461
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Risk aversion under preference uncertainty
Kräussl, Roman; Lucas, André; Siegmann, Arjen - 2010 - This version: November 25, 2010
may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA …
Persistent link: https://www.econbiz.de/10008748092
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Ambiguous Information, Portfolio Inertia, and Excess Volatility
Illeditsch, Philipp K. - 2011
I study the effects of risk and ambiguity (Knightian uncertainty) on optimal portfolios and equilibrium asset prices when investors receive information that is difficult to link to fundamentals. I show that the desire of investors to hedge ambiguity leads to portfolio inertia and excess...
Persistent link: https://www.econbiz.de/10013133587