Search Results - subject:"Relative risk aversion"

Cho, Sungjun - 2009

I examine determinants of stochastic relative risk aversion in conditional asset pricing models. I first develop time … important determinant of relative risk aversion. Second, the CAY of Lettau and Ludvigson (2001a) without a look-ahead bias … explains part of relative risk aversion, and the short term interest rate has some explanatory power for hedging components …

Persistent link: https://www.econbiz.de/10010277907

Voting on the tax rate when attitude to risk depends on skill heterogeneity

Farina, Francesco; Fontini, Fulvio - Dipartimento di Politica Economica, Finanza e Sviluppo … - 2009

We set a model in which a population of individuals is segmented in the labour market into two groups: high-skill workers and low-skill ones. Risk exposure consists of a macroeconomic employment risk for which the two groups have diverging probabilities. We investigate how risk affects...

Persistent link: https://www.econbiz.de/10005766562

Endogenous Unions Formation

Chica Páez, Yolanda; Alejos, Espinosa; Paz, María - Departamento de Fundamentos del Análisis Económico … - 2009

This paper analyzes the process of endogenous union formation in the context of a sequential bargaining model between a firm and several unions and tries to explain why workers may be represented by several unions of different sizes. We show that the equilibrium number of unions and their...

Persistent link: https://www.econbiz.de/10009651086

Bank capital adequacy for average market financial risk

Azar, Samih Antoine - In: The empirical economics letters : a monthly … 14 (2015) 6, pp. 631-635

Persistent link: https://www.econbiz.de/10011419189

Existence of monotone equilibrium in first price auctions with private risk aversion and private initial wealth

Gentry, Matthew; Li, Tong; Lu, Jingfeng - In: Games and economic behavior 94 (2015), pp. 214-221

Persistent link: https://www.econbiz.de/10011574893

The More Kids, The Less Mom’s Divvy: Impact of Childbirth on Intrahousehold Resource Allocation

Fujii, Tomoki; Isikawa, Ryuichiro - School of Economics, Singapore Management University - 2008

We investigate how childbirth affects intrahousehold resource allocation for married Japanese couples. We develop reduced-form and structural-form sepcifications from a unified theoretical framework. Under a weak set of assumptions, we can focus on private goods to track the changes in...

Persistent link: https://www.econbiz.de/10004995261

Complete Monotonicity of the Representative Consumer's Discount Factor

Hara, Chiaki - Center for Intergenerational Studies, Institute of … - 2008

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

Persistent link: https://www.econbiz.de/10005018222

The More Kids, The Less Momââ‚¬â„¢s Divvy : Impact of Childbirth on Intrahousehold Resource Allocation

Fujii, Tomoki; Isikawa, Ryuichiro - East Asian Bureau of Economic Research (EABER) - 2008

We investigate how childbirth affects intrahousehold resource allocation for married Japanese couples. We develop reduced-form and structural-form specifications from a unified theoretical framework. Under a weak set of assumptions, we can focus on private goods to track the changes in...

Persistent link: https://www.econbiz.de/10009363738

Insurance demand and first-order risk increases under (μ,σ)-preferences revisited

Eichner, Thomas; Wagener, Andreas - In: Finance Research Letters 11 (2014) 4, pp. 326-331

expected-utility approach, this condition is equivalent to the index of partial relative risk aversion being lower than one. …

Persistent link: https://www.econbiz.de/10011118177

Extracting market information from equity options with exponential Lévy processes

Fabozzi, Frank J.; Leccadito, Arturo; Tunaru, Radu S. - In: Journal of Economic Dynamics and Control 38 (2014) C, pp. 125-141

Lévy processes have been successfully applied in the modeling of financial assets. Useful information such as implied volatility, skewness, and risk-preferences can be derived from market option prices. In this paper, we advocate using Esscher conjugate Lévy processes to estimate risk-neutral...

Persistent link: https://www.econbiz.de/10010730086