Search Results - subject:"optimal risk attitude"

Risk attitude optimization and heterogeneous stock market participation

Sarver, Todd - 2017

optimal risk attitude utility. Our model is an extension of recursive expected utility that allows an individual to optimally … risk attitude utility can provide a partial resolution to both the stock market participation puzzle and the equity premium … small and large risks. We solve the dynamic stochastic general equilibrium of a calibrated economy and show that optimal …

Persistent link: https://www.econbiz.de/10012116795

Mixture-averse preferences and heterogeneous stock market participation

Sarver, Todd - 2016

To study intertemporal decisions under risk, we develop a new recursive model of non-expected-utility preferences. The main axiom of our analysis is called mixture aversion, as it captures a dislike of probabilistic mixtures of lotteries. Our representation for mixture-averse preferences can be...

Persistent link: https://www.econbiz.de/10011617348