. 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 …

stance. When decomposing the VIX into two components, a proxy for risk aversion and expected stock market volatility … ("uncertainty"), we find that a lax monetary policy decreases both risk aversion and uncertainty, with the former effect being …

influence both the coefficient of relative risk aversion and the IEVSL. The presence of a consumption commitment, such as a home …

of a credit market imperfection index, the sunk costs of creating a new business, and a risk aversion index (inter alia …

Typical value-at-risk (VAR) calculations involve the probabilities of extreme dollar losses, based on the statistical … VAR values that are adjusted for risk aversion, time preferences, and other variations in economic valuation. In the … context of a representative agent equilibrium model, we construct an estimator of the risk-aversion coefficient that is …

, and predictability of stock returns. The key to our results is that the agent's risk-aversion changes over time as a …

This paper examines how aversion to risk and aversion to intertemporal substitution determine the strength of the … large risks, we show that decreasing absolute risk aversion guarantees that the precautionary saving motive is stronger than … risk aversion, regardless of the elasticity of intertemporal substitution. Holding risk preferences fixed, the extent to …

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 … expenditure patterns. While the speculative portfolio depends on risk aversion and real return differentials. When the effect of …