often modify risky decisions in response to dynamic wealth or asset thresholds, where they exist. Ignoring this dynamic risk … risk preferences and wealth dynamics may remedy the problem, but can be empirically challenging …

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 …

often modify risky decisions in response to dynamic wealth or asset thresholds, where such thresholds exist. Ignoring this … approach that jointly estimates risk preferences and wealth dynamics may remedy the problem by extracting dynamic risk …

seriously adverse outcomes. If the composition of wealth shifts into the hands of investors with higher coefficients of relative … calculates likely magnitudes of the decline and presents evidence in favor of a shift in the composition of wealth toward the …

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 …

traditionally used to determine the optimal leverage factor for maximizing an investor’s absolute wealth. However, using the Kelly …, making the case for maximizing relative wealth rather than absolute wealth. We propose a risk-adjusted Kelly criterion based … on quadratic utility for maximizing the investors’ wealth relative to a generic reference. Our model enables us to derive …