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Zanetti, Francesco - In: Economics letters 123 (2014) 1, pp. 23-25

Persistent link: https://www.econbiz.de/10010399077

Simulating the market coefficient of relative risk aversion

Azar, Samih Antoine; Karaguezian-Haddad, Vera - In: Cogent economics & finance 2 (2014) 1, pp. 1-7

In this paper, expected utility, defined by a Taylor series expansion around expected wealth, is maximized. The coefficient of relative risk aversion (CRRA) that is commensurate with a 100% investment in the risky asset is simulated. The following parameters are varied: the riskless return, the...

Persistent link: https://www.econbiz.de/10010490408

Consumption and precautionary saving : an empirical analysis under both financial and environmental risks

Baiardi, Donatella; Manera, Matteo; Menegatti, Mario - In: Economic modelling 30 (2013), pp. 157-166

Persistent link: https://www.econbiz.de/10009703698

Estimating risk aversion, risk-neutral and real-world densities using Brazilian real currency options

Barbachan, José Santiago Fajardo; Ornelas, José … - In: Economia aplicada : EA 16 (2012) 4, pp. 567-577

Persistent link: https://www.econbiz.de/10011447980

Wealth fluctuations and investment in risky assets : the UK micro evidence on households asset allocation

Payá, Ivan; Wang, Peng - In: Journal of empirical finance 38 (2016), pp. 221-235

Persistent link: https://www.econbiz.de/10011663298

Relative risk aversion and the transmission of financial crises

Boschi, Melisso; Goenka, Aditya - In: Journal of economic dynamics & control 36 (2012) 1, pp. 85-99

Persistent link: https://www.econbiz.de/10009422352

A numerical solution of optimal portfolio selection problem with general utility functions

Ma, Guiyuan; Zhu, Song-Ping; Kang, Boda - In: Computational economics 55 (2020) 3, pp. 957-981

Persistent link: https://www.econbiz.de/10012223689

Pure rank preferences and variation in risk-taking behavior

Stark, Oded; Budziński, Wiktor; Jakubek, Marcin - In: Economics letters 184 (2019), pp. 1-3

Persistent link: https://www.econbiz.de/10012304788

News and expected returns in East Asian equity markets : the RV-GARCHM model

Martin, Vance; Tang, Chrismin; Yao, Wenying - In: Journal of Asian economics 57 (2018), pp. 36-52

Persistent link: https://www.econbiz.de/10012102777

On social preferences and the intensity of risk aversion

Stark, Oded - 2019

We study the relative risk aversion of an individual with particular social preferences: his wellbeing is influenced by his relative wealth, and by how concerned he is about having low relative wealth. Holding constant the individual's absolute wealth, we obtain two results. First, if the...

Persistent link: https://www.econbiz.de/10012022782