We derive the conditions for the optimal portfolio choice within a constant relative risk aversion type of utility … asset returns. We illustrate the role — beyond risk aversion — played by higher-order moments in the optimal decision to … form a portfolio of risky assets. In particular, we show that higher-order risk attitudes such as prudence and temperance …

an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …

From standard portfolio-choice theory it is well-understood that background risk, overwhelmingly due to wage risk, is … one of the central determinants of individuals’ portfolio composition: higher background risk reduces risky investments …. However, if background risk is negatively correlated with financial market risk, higher background risk implies more risky …

take risk as measured by the general risk question. We demonstrate that this disposition, which we call risk conception, is … strongly associated with optimism, a stable facet of personality, and that it predicts real-life risk taking. The general risk … question captures this disposition alongside pure risk preference. This likely contributes to the predictive power of the …

take risk as measured by the general risk question. We demonstrate that this disposition, which we call risk conception, is … strongly associated with optimism, a stable facet of personality and that it predicts real-life risk taking. The general risk … question captures this disposition alongside pure risk preference. This enlightens why the general risk question is a better …

reduction (self-protection) so that correlation becomes endogenous. If prevention concerns only one risk, introducing a second … exogenous risk increases the level of prevention expenditures, even if correlation is negative. If prevention expenditures may … increased dependence increases aggregate prevention expenditures, but not necessarily prevention expenditures for each risk due …

-markets consumption allocation. There is substantial heterogeneity in risk preferences estimated from the full-insurance model, positively …We measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model and … village, full insurance cannot be rejected, suggesting that relatives provide something close to a complete …

We test whether relative risk aversion varies with wealth using the Panel Study of Income Dynamics data in the U.S. Our … analytical results indicate the following implications. For each household, there are two channels through which the risky share …-varying relative risk aversion arise when both heterogeneous responses through the habit channel and the responses through the income …

degree of pessimism of the representative agent is the mean of the individual ones weighted by their index of absolute risk …

on comparisons of optimal decisions to naive alternatives. We find that the value of advice varies with a client's risk … aversion and the percentage of wealth that could be gained or lost. In general, the most risk averse households should place …