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Risk Attitudes Toward Small and Large Bets in the Presence of Background Risk

Chapman, David A.; Polkovnichenko, Valery - In: Review of Finance 15 (2011) 4, pp. 909-927

If an individual with expected utility and a reasonable level of wealth rejects a small actuarially favorable gamble, it implies a very high degree of risk aversion. It also predicts (counterfactually) the rejection of more sizable and very attractive bets. If additional background uncertainty...

Persistent link: https://www.econbiz.de/10010613059

Risk attitudes toward small and large bets in the presence of background risk

Chapman, David A.; Polkovnichenko, Valery - In: Review of finance : journal of the European Finance … 15 (2011) 4, pp. 909-927

Persistent link: https://www.econbiz.de/10009376158

First-order risk aversion, heterogeneity, and asset market outcomes

Chapman, David A.; Polkovnichenko, Valery - In: The journal of finance : the journal of the American … 64 (2009) 4, pp. 1863-1887

Persistent link: https://www.econbiz.de/10003874460

Human capital and the private equity premium

Polkovnichenko, Valery - In: Review of economic dynamics 6 (2003) 4, pp. 831-845

Persistent link: https://www.econbiz.de/10001823254

Limited stock market participation and the equity premium

Polkovnichenko, Valery - In: Finance research letters 1 (2004) 1, pp. 24-34

Persistent link: https://www.econbiz.de/10003307248

Household portfolio diversification : a case for rank-dependent preferences

Polkovnichenko, Valery - In: The review of financial studies 18 (2005) 4, pp. 1467-1502

Persistent link: https://www.econbiz.de/10003352976

Life-cycle portfolio with additive habit formation preferences and uninsurable labor income risk

Polkovnichenko, Valery - In: The review of financial studies 20 (2007) 1, pp. 83-124

Persistent link: https://www.econbiz.de/10003403674

The cyclical properties of consumption growth and the real term structure

Chapman, David A. - In: Journal of monetary economics 39 (1997) 2, pp. 145-172

Persistent link: https://www.econbiz.de/10001224497

Approximating the asset pricing kernel

Chapman, David A. - In: The journal of finance : the journal of the American … 52 (1997) 4, pp. 1383-1410

Persistent link: https://www.econbiz.de/10001227648

Does intrinsic habit formation actually resolve the equity premium puzzle?

Chapman, David A. - In: Review of economic dynamics 5 (2002) 3, pp. 618-645

Persistent link: https://www.econbiz.de/10001691561

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