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 - Fondazione ENI Enrico Mattei (FEEM) - 2011

empirical analysis performed with one-argument utility functions. Finally, we provide new estimates of indexes of relative risk … aversion and relative prudence, and relative preference of environmental quality. …

Persistent link: https://www.econbiz.de/10009320989

Heterogenous intertemporal elasticity of substitution and relative risk aversion: estimation of optimal consumption choice with habit formation and measurement errors

Natalia, Khorunzhina; Wayne Roy, Gayle - Volkswirtschaftliche Fakultät, … - 2011

elasticity of substitution (IES) and the coefficient of relative risk aversion (RRA) that is generated by habit forming … intertemporal elasticity of substitution and relative risk aversion that account for measurement errors and compute asymptotically …

Persistent link: https://www.econbiz.de/10009353832

Wealth fluctuations and investment in risky assets : the UK micro evidence on households asset allocation

Payá, Ivan; Wang, Peng - In: Journal of empirical finance 38 (2016), pp. 221-235

Persistent link: https://www.econbiz.de/10011663298

The quantification of type-2 prudence in asset allocation by the trustees of a retirement fund

Thomson, Robert J.; Reddy, Taryn L. - In: Annals of actuarial science : publ. by the Institute of … 10 (2016) 2, pp. 169-202

Persistent link: https://www.econbiz.de/10011620748

Does relative risk aversion vary with wealth? : evidence from households׳ portfolio choice data

Liu, Xuan; Yang, Fang; Cai, Zongwu - In: Journal of economic dynamics & control 69 (2016), pp. 229-248

Persistent link: https://www.econbiz.de/10011708541

Some solutions to the equity premium and volatility puzzles

Li, Jinlu - Volkswirtschaftliche Fakultät, … - 2010

In this paper, I adopt an economic equilibrium model utilizing the framework introduced by Mehra and Prescott (1985) when they presented the equity premium puzzle. This model, in the long run and with respect to stationary probabilities, produces results that match the sample values derived from...

Persistent link: https://www.econbiz.de/10008727894

Measuring the Intertemporal Elasticity of Substitution for Consumption: Some Evidence from Japan

Noda, Akihiko; Sugiyama, Shunsuke - In: Economics Bulletin 30 (2010) 1, pp. 524-533

Japan assuming a constant relative risk aversion (CRRA) utility function. The estimates of the IES we obtain range from 0 …

Persistent link: https://www.econbiz.de/10010835723

Heterogeneous Beliefs in a Continuous-Time Model

Hara, Chiaki - Institute of Economic Research, Kyoto University - 2010

In an exchange economy under uncertainty populated by consumers having constant and equal relative risk aversion but … heterogeneity depending on whether the constant relative risk aversion is greater or smaller than one. We also show that the …

Persistent link: https://www.econbiz.de/10008488927

Measuring the Intertemporal Elasticity of Substitution for Consumption: Some Evidence from Japan

Noda, Akihiko; Sugiyama, Shunsuke - In: Economics Bulletin 30 (2010) 1, pp. 524-533

Japan assuming a constant relative risk aversion (CRRA) utility function. The estimates of the IES we obtain range from 0 …

Persistent link: https://www.econbiz.de/10008563119

Increasing Returns and Unsynchronized Wage Adjustment in Sunspot Models of the Business Cycle

Huang, Kevin X.D.; Meng, Qinglai - Vanderbilt University Department of Economics - 2010

implausibly large and rise quickly with the relative risk aversion in labor. We show that unsynchronized wage adjustment via a … level and make it invariant to the relative risk aversion in labor. As a result, indeterminacy and sunspot-driven business … cycle fluctuations may emerge for empirically plausible increasing returns regardless of the value of the relative risk …

Persistent link: https://www.econbiz.de/10008692907