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Measuring price risk aversion through indirect utility functions : a laboratory experiment

Zeytoon-Nejad, Ali - In: Games 13 (2022) 4, pp. 1-43

introduces the main elements of the duality theory (DT) in economics. Next, it proposes the context of IUFs as a suitable … under the expected utility theory (EUT) are somewhat subject to context. Other findings imply that the risk premium (RP), as …

Persistent link: https://www.econbiz.de/10013368182

Alternative measures for modeling risk and expected utility theory : (risk adjustment, measurement and attitude)

Seber, Akin - In: International journal of economics and finance 6 (2014) 9, pp. 151-157

Persistent link: https://www.econbiz.de/10010417168

Skewness term structure tests

Lin, Yuehao; Lehnert, Thorsten - 2014

Persistent link: https://www.econbiz.de/10010502924

Skewness risk premium : theory and empirical evidence

Lehnert, Thorsten; Lin, Yuehao; Wolff, Christiaan … - 2014

Persistent link: https://www.econbiz.de/10010502927

Asset pricing with horizon-dependent risk aversion

Andries, Marianne; Eisenbach, Thomas M.; Schmalz, Martin C. - 2014

We study general equilibrium asset prices in a multi-period endowment economy when agents' risk aversion is allowed to depend on the maturity of the risk. We find horizon-dependent riskaversion preferences generate a decreasing term structure of risk premia if and only if volatility is...

Persistent link: https://www.econbiz.de/10010439624

Disappointment aversion and the equity premium puzzle : new international evidence

Xie, Yuxin; Pantelous, Athanasios A.; Florackis, Chris - In: The European journal of finance 22 (2016) 10/12, pp. 1189-1203

Persistent link: https://www.econbiz.de/10011715339

Aversions to impatience, uncertainty and illiquidity

Allard, Marie; Bronsard, Camille; Gouriéroux, Christian - In: Annals of economics and statistics 125/126 (2017), pp. 9-39

Persistent link: https://www.econbiz.de/10011744355

Skewness term-structure tests

Lehnert, Thorsten; Lin, Yuehao - In: Applied mathematical finance 23 (2016) 5/6, pp. 484-504

Persistent link: https://www.econbiz.de/10011704272

Risk-free yields, risk aversion, and volatility

Azar, Samih Antoine - In: International journal of economics and financial issues … 7 (2017) 3, pp. 105-112

Persistent link: https://www.econbiz.de/10011811059

Monetary policy, risk aversion and uncertainty in an international context

Saini, Sakshi; Sehgal, Sanjay; Deisting, Florent - In: Multinational finance journal 24 (2020) 3/4, pp. 211-266

Persistent link: https://www.econbiz.de/10012591011