owner of an asset with known stochastic returns raises capital from a population of investors that differ in their risk … aversion and budget constraints. The issuer partitions the asset's cash flow into several asset-backed securities, one for each …

diagnostics are compared. The UK (Swedish) investors show the highest (lowest) risk aversion (and lowest (highest) inter …-temporal substitution in consumption). However, the risk aversion coefficient distributions are relatively wide, with an insignificant … therefore the stochastic discount factor for the constant relative risk aversion utility as described in the marginal rate of …

This paper considers the impact of global risk aversion and domestic macroeconomic factors on the dynamic conditional … diversification benefits. Further analysis using the OLS regression model shows that global risk aversion and domestic macroeconomic … portfolios as asset correlations, global risk aversion and domestic macroeconomics evolve. The study offers valuable insights and …

attitudes towards ambiguity and compound risk which suggests that compound risk aversion may provide a psychological foundation … for ambiguity aversion. However, compound risk aversion and ambiguity aversion may also be independent psychological … studies, we observe a strong correlation between compound risk aversion and ambiguity aversion, but this correlation only …