behavioral factors. The optimal wealth allocation between risky and risk-free assets results within a value-at-risk (VaR …

We test whether relative risk aversion varies with wealth using the Panel Study of Income Dynamics data in the U.S. Our … responds to wealth fluctuations, the income channel and the habit channel. For across households, there are heterogeneous … responses, and to provide strong evidence of relative risk aversion varying with wealth, after correcting two misspecification …