Jacobs, Kris; Pallage, Stéphane; Robe, Michel A. - In: Journal of Banking & Finance 37 (2013) 2, pp. 378-388
This paper investigates the importance of market incompleteness by comparing the rates of risk aversion estimated from complete and incomplete markets environments. For the incomplete-markets case, we use consumption data for the 50 US states. We find that the rate of risk aversion under the...