In the framework of continuous-time finance theory, this paper derives the optimal consumption and portfolio rules for … an international investor with constant expenditure shares [alpha, sub j] and constant relative risk aversion [1-gamma … inflation and risk aversion. It is shown that the minimum variance portfolio is independent of returns, but depends on …

. However, in a Lucas-tree world, the aggregate risk is given by the process for GDP and cannot be altered by the creation of … will be nil. With heterogeneity in coefficients of relative risk aversion, safe assets can take the form of private bond … issues from low-risk-aversion to high-risk-aversion agents. The model assumes Epstein-Zin/Weil preferences with common values …

and the consequent inactivity in portfolio adjustment imply that inferences drawn about household risk aversion and the … elasticity of intertemporal substitution are biased: household risk aversion is lower compared to other estimates and it is not …

.S. household survey, we measure ambiguity aversion using custom- designed questions based on Ellsberg urns. As theory predicts …

profiles. This nonlinear risk exposure combines with large allocations, typical among investors in alternatives, to produce …

-varying opportunity sets, but unless investors are unreasonably risk averse, optimal holdings include unreasonably large equity positions …

-- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in … general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and … plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not …

withdrawal strategy, assuming risk aversion, stochastic capital markets, and uncertain lifetimes. The resulting portfolio … proves appealing for retirees across a wide range of risk preferences, supporting financial planning advisors who often … capital market and %u201Cbet on death.%u201D As risk aversion rises, annuities first crowd out bonds in retiree portfolios; at …

-cycle (or target date) funds. We find that life-cycle funds designed to match the risk tolerance and investment horizon of … investors have small welfare costs. All other choices, including life-cycle funds which do not match investors' risk tolerance …

We measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model and …-markets consumption allocation. There is substantial heterogeneity in risk preferences estimated from the full-insurance model, positively … would benefit from eliminating village-level risk, less-risk-averse households who are paid to absorb that risk would be …