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Empirical selection of optimal portfolios and its influence in the estimation of Kreps-Porteus utility function parameters

Faria, Adriano; Ornelas, Rafael; Almeida, Caio - In: Brazilian review of econometrics : BRE ; the review of … 36 (2016) 1, pp. 43-62

Persistent link: https://www.econbiz.de/10011538973

Risk aversion or model uncertainty? : an empirical cross-sectional analysis across countries

Engel, Pedro; Almeida, Caio; Valente, João Paulo - In: Brazilian review of econometrics : BRE ; the review of … 38 (2018) 2, pp. 321-355

Persistent link: https://www.econbiz.de/10012129516

Disentangling Risk Aversion and Intertemporal Substitution Through a Reference Level

Garcia, René; Renault, Éric; Semenov, Andrei - Centre Interuniversitaire de Recherche en Analyse des … - 2003

In the standard consumption capital asset pricing model (CCAPM), the curvature of the investor's utility function captures two aspects of preferences: as the concavity of the function increases so does his aversion to risk as well as his desire to smooth consumption intertemporally. This...

Persistent link: https://www.econbiz.de/10005100797

Viewpoint: option prices, preferences, and state variables

Garcia, René; Luger, Richard; Renault, Eric - In: The Canadian journal of economics 38 (2005) 1, pp. 1-27

Persistent link: https://www.econbiz.de/10002654852

State dependence in fundamentals and preferences explains risk-aversion puzzle

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - 2005

Persistent link: https://www.econbiz.de/10002739756

Option prices, preferences, and state variables

Garcia, René (contributor); Luger, Richard (contributor); … - 2004

Persistent link: https://www.econbiz.de/10002750617

Generalized disappointment aversion, long-run volatility risk and asset prices

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - 2010

Persistent link: https://www.econbiz.de/10008749056

Generalized disappointment aversion, long-run volatility risk, and asset prices

Bonomo, Marco Antonio; Garcia, René; Meddahi, Nour; … - In: The review of financial studies 24 (2011) 1, pp. 82-122

Persistent link: https://www.econbiz.de/10008909444

Disentangling risk aversionand intertemporal substitution through a reference level

Garcia, René; Renault, Eric; Semenov, Andrei - In: Finance research letters 3 (2006) 3, pp. 181-193

Persistent link: https://www.econbiz.de/10003374037

State dependence can explain the risk aversion puzzle

Chabi-Yo, Fousseni; Garcia, René; Renault, Eric - In: The review of financial studies 21 (2008) 2, pp. 973-1011

Persistent link: https://www.econbiz.de/10003716673

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