stocks. The analysis leads to the conclusion that the risk entailed in stock investment is reduced relative to the yield as …

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

-diversifiable risk. In the context of normally distributed asset returns, its estimator and finite-sample properties are explored when …

indicate that it could be possible for a capital income tax increase not to stimulate risk taking even if the tax code provides … the attractive full loss offset provisions. However, risk taking can be stimulated if the investor interprets part of the … tax as a loss instead as a reduced gain. Then investor becomes risk seeking and moves away from the discomfort zone of …

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 … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

This paper focuses on asset allocation. We show how any shapes of risk aversion can be modeled to incorporate the mixed … Meyer, 2005; Guiso and Paiella, 2008). Our setting builds on and can be compared to the well-known Constant Relative Risk …

, as a measure of risk, of volatility, Value at Risk and Conditional Value at Risk. This with the aim to take account of … with other robust and non robust models, and with respect to the risk-free portfolio and therefore can have interesting …

analytical functions of the moments. This allows an analysis of the risk properties of systems to be carefully attributed between … choices of risk function (e.g. VaR vs CVaR); choice of return distribution (power law tail vs Gaussian) and choice of event … frequency, for risk assessment. We exploit this to provide a simple method for portfolio optimization when the asset returns …

One of Keynes' core issues in his liquidity preference theory is how fundamental uncertainty affects the propensity to …