noise, cross hedging and speculating on the real risk premium are conflicting objectives; the level of relative risk … aversion determines which objective is dominant in a nominally unbiased forward market. …

value including the relative risk aversion coefficient of a terminal utility and the Jacobian matrix process of the state … variables, and, (iii) a "mean-reverting" property relates to the monotonic decreasing property of the relative risk aversion …

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

-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 …

’s coefficient of relative risk aversion to average relative risk aversion. Therefore, this elasticity is unity for someone with … average relative risk aversion, whereas consumers with above average relative risk aversion transfer some of their aggregate …- output risk to consumers with below average relative risk aversion. This result has important implications on the financial …

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 …