This paper explores theoretically and empirically the issue of time-varying relative risk aversion (TVRRA). We analytically solve a parsimonious life-cycle portfolio choice model with the preferences given by Greenwood, Hercowitz and Huffman (1988, GHH). Our analytical solution identifies four...

We test whether relative risk aversion varies with wealth using the Panel Study of Income Dynamics data in the U.S. Our analytical results indicate the following implications. For each household, there are two channels through which the risky share responds to wealth fluctuations, the income...

This paper explores the issue of understanding time-varying relative risk aversion with household-level data. First, we derive an analytic form for a parsimonious portfolio choice model with the preference given by Greenwood, Hercowitz and Huffman (1988, GHH), and then, the analytical solution...

This paper explores theoretically and empirically the issue of time-varying relative risk aversion. We analytically solve a parsimonious life-cycle portfolio choice model with the preferences given by Greenwood, Hercowitz and Huffman (1988, GHH). Our analytical solution identifies four partial...