coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The …

Although risk aversion has been used in economic models for over 275 years, the past few decades have shown how higher … order risk attitudes are also quite important. A behavioral approach to defining such risk attitudes was developed by … lattices can be extended in order to develop a better understanding of higher order risk attitudes. …

support for the hypothesis that attitude to risk and attitude to ambiguity are two independent phenomena. In fact in this … experiment, decision-makers are both risk-seekers (i.e., the mean WTP for insurance is on average smaller than the expected value … of the loss) and ambiguity averse (i.e., the mean WTP for insurance is on average higher for an ambiguous risk than for a …

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 …

We examine the optimal saving decision of individuals who face a multiplicative risk. An individual is defined to be … multiplicative risk prudent if multiplying a pure risk to her future wealth raises her optimal savings. We show that convex marginal … utility is not sufficient to induce multiplicative risk prudent. Instead, an individual is multiplicative risk prudent if and …

In a recent article entitled 'Putting Risk in its Proper Place,' Eeckhoudt and Schlesinger (2006) established a theorem … disaggregation of risks across states of nature to the complete structure of moments preferred by mixed risk averse agents. It can be …

Estimating risk preferences is tricky because controlling for confounding factors is difficult. Omitting or imperfectly … controlling for these factors can attribute too much observable behavior to risk aversion and bias estimated preferences. Agents … often modify risky decisions in response to dynamic wealth or asset thresholds, where they exist. Ignoring this dynamic risk …

Should you buy a stock or a corporate bond? A common belief is that the Pratt-Arrow risk aversion measure gives the … answer: a more risk averse investor will prefer more a corporate bond to a stock. However, this is not always true. In a … simple portfolio problem with a riskless bond, a stock and a corporate bond from a firm, we show that, it is not the risk …