Expected utility functions are limited to second-order (conditional) risk aversion, while non-expected utility … functions can exhibit either first-order or second-order (conditional) risk aversion. We extend the concept of orders of … conditional risk aversion to orders of conditional dependent risk aversion. We show that first-order conditional dependent risk …

the basis of expected benefits since the resulting tax determined by the model is incompatible with any risk sharing …

Using as a starting point a popular version of the utility function, we obtain a value for the risk aversion parameter …

Utilizing the recently developed measure of global risk aversion by Xu (2017), we show that global risk aversion is a … effect of risk aversion on emerging market comovements is particularly strong for South Africa and Turkey and supports the … portfolio risk …

participants, our framework studies security repurchase agreements between risk-averse borrowers and lenders. In this manner, repo … agreements are part of an efficient risk-sharing arrangement. In turn, properties of the agreements depend on environmental … conditions such as the degree of risk aversion, default risk, and the market value of collateral. Previous work based upon risk …

two between-subjects treatments that differed only regarding the risk profile of the risky asset employed. We found no …

We study the relationship between stock market return expectations and risk aversion of individuals and test whether … stock market return expectations as well as a significant and negative effect from risk aversion separately. However, once … Dutch National Bank Household Survey, we find that risk aversion levels have significant and negative effects on stock …

accommodating the long-run consumption risk. Consumption growth includes a small predictable component as in Bansal and Yaron (2004 … consumption growth. For example, the estimate of risk aversion falls from around 200 to 10, and the R2 increases from around 30 …

the basis of expected benefits since the resulting tax determined by the model is incompatible with any risk sharing …