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

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 …

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 …

risk premium. We show that the dynamics of external additive habits with wealth inequality are complex when a background … risk is present. It is ambiguous whether wealth inequality will increase or decrease the equity premium even when the … income uncertainty is low. This result extends literature by suggesting that wealth inequality has a small role in explaining …