Search Results - subject:"Relative risk aversion"

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

Return predictability and stock market crashes in a simple rational expectations model

Lüders, Erik; Franke, Günter - 2005

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 …

Persistent link: https://www.econbiz.de/10010266946

Monotone risk aversion

Nielsen, Lars - In: Economic Theory 25 (2005) 1, pp. 203-215

results also hold for increasing absolute and for increasing and decreasing relative risk aversion. Copyright Springer …

Persistent link: https://www.econbiz.de/10005753235

Is relative risk aversion constant? A reinterpretation of recent asset allocation findings at the micro level

Liu, Desu - In: Economics Letters 117 (2012) 1, pp. 250-252

allocations with respect to wealth changes than the well-known preference of constant relative risk aversion itself. …

Persistent link: https://www.econbiz.de/10010580485

Relative risk aversion and the transmission of financial crises

Boschi, Melisso; Goenka, Aditya - In: Journal of Economic Dynamics and Control 36 (2012) 1, pp. 85-99

risk aversion, then negative wealth shocks increase the risk premium required to hold risky assets. We integrate this into …We study how investor behavior affects the transmission of financial crises. If investors exhibit decreasing relative …

Persistent link: https://www.econbiz.de/10010582621

On relative and partial risk attitudes: theory and implications

Chiu, W.; Eeckhoudt, Louis; Rey, Beatrice - In: Economic Theory 50 (2012) 1, pp. 151-167

Persistent link: https://www.econbiz.de/10010557781

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

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

The Stock Proportion in the Portfolio of the Individual Investor: The Effect of the Time Horizon on the Strategic Asset Allocation of the Investor with Constant Relative Risk Avers...

Klo?, Stefan - 2004

constant relative risk aversion. The stock is assumed to be lognormal distributed. This model is suited for individual …

Persistent link: https://www.econbiz.de/10009482336

Elicited bid functions in (a)symmetric first-price auctions

Pezanis-Christou, Paul; Sadrieh, Abdolkarim - Departament d'Economia i Història Econòmica, … - 2003

We report on a series of experiments that examine bidding behavior in first-price sealed bid auctions with symmetric and asymmetric bidders. To study the extent of strategic behavior, we use an experimental design that elicits bidders' complete bid functions in each round (auction) of the...

Persistent link: https://www.econbiz.de/10005582610