might lead to seemingly U-shaped relative risk aversion for a representative investor, as found empirically by Ait …

constant and equal relative risk aversion, and constant and yet possibly unequal discount rates. …

In this paper we propose benchmark values for the coefficients of relative risk aversion and relative prudence on the … and the third (central) moment of his wealth distribution. Keywords: relative risk aversion, relative prudence. JEL … that unity is a benchmark value for the coefficient of relative risk aversion (RRA for short; defined as −u′′(X)u′(X) X …

case in particular in the first half of the sample period, where also the coefficient of the relative risk aversion is …

) - this paper assumes risk aversion instead: taxpayers have a Constant Relative Risk Aversion (CRRA) utility function and … differ in terms of their relative risk aversion coefficient and income. The novel contribution of this work is that, under … certain conditions, the cutoff is accepted by taxpayers with intermediate characteristics in terms of income and relative risk …

by assuming different values for the constant relative risk aversion coefficient. Instead of taking this coefficient as …

-independent heterogeneous risk aversion of investors is likely to generate declining aggregate relative risk aversion. This leads to … predictability of asset returns and high and persistent volatility. Stock market crashes may be observed if relative risk aversion … differs strongly across investors. Then aggregate relative risk aversion may sharply increase given a small impairment in …