We propose an instrument to measure individuals' social preferences regarding equity and efficiency behind a veil of ignorance. We pair portfolio and wealth distribution choice problems which have a common budget set. For a given bundle, the distribution over an individual's wealth is the same...

How does the market makers' aversion to unhedgeable risks influence option prices? We answer this question by introducing a new structural approach: deep replication. With this method, we extract the risk aversion of S&P500 options per contract and per day. Cross-sectionally, we show the...

In fifteen European countries, China, and the US, stocks and business equity as a share of total household assets are represented by an increasing and convex function of income/wealth. A parsimonious model fitted to the data shows why background labor-income risk can explain much of this...

This paper studies the infinite horizon optimal consumption with a path-dependent reference under the exponential utility. The performance is measured by the difference between the non-negative consumption rate and a fraction of the historical consumption maximum. The consumption running maximum...

Different models of uncertainty aversion imply strikingly different economic behavior. The key to understanding these differences lies in the dichotomy between first-order and second-order ambiguity aversion which I define here. My definition and its characterization are independent of specific...

This study provides formal theoretical evidence for nesting of probability measures that are generated by risk aversion in probability measures that are generated by risk seeking preferences. In presence of highlighted nesting, conditional on independent parameterization of expectations...