We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...

We examine whether the drastic improvement in liquidity in the US stock market after 2003 has impacted the systematic exposures of hedge funds to the US-stock market. The relation between market exposure and Amihud's illiquidity measure reverses significantly around a breakpoint situated...

Downside deviation, semivariance, or the second lower partial moment are different names for the same risk measure, proposed in the literature for capturing the downside risk of investment decisions. This paper analyzes multiperiod decision making under such a risk measure, and finds that a...

We analyze the major challenges for the Ukrainian tax system for the post-war recovery of Ukraine. We identify four areas of concern: a large shadow economy, high taxation of labor income and a complex filing process and limited redistribution. For example, self-employed persons face only a flat...

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA) utility functions. We illustrate the consequences of this...