We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty. …

under the expected utility theory (EUT) are somewhat subject to context. Other findings imply that the risk premium (RP), as …The present paper introduces a theoretical framework through which the degree of risk aversion with respect uncertain … introduces the main elements of the duality theory (DT) in economics. Next, it proposes the context of IUFs as a suitable …

The purpose of this paper is to provide a general proposition of the relationship between altruism and risk taking. As … generalization of a preliminary result reported in Stark (2024). In a broad utility framework, we study the risk aversion of an … altruistic person who is an active donor (benefactor) and the risk aversion of a beneficiary of an altruistic transfer. In both …

The purpose of this paper is to provide a general proposition of the relationship between altruism and risk taking. As … generalization of a preliminary result reported in Stark (2024). In a broad utility framework, we study the risk aversion of an … altruistic person who is an active donor (benefactor) and the risk aversion of a beneficiary of an altruistic transfer. In both …

We show that if an agent is uncertain about the precise form of his utility function, his actual relative risk aversion … may depend on wealth even if he knows his utility function lies in the class of constant relative risk aversion (CRRA … their risk aversion parameter invest less in risky assets than wealthy investors with identical risk aversion uncertainty …

Although risk aversion has been used in economic models for over 275 years, the past few decades have shown how higher … order risk attitudes are also quite important. A behavioral approach to defining such risk attitudes was developed by … Eeckhoudt and Schlesinger (2006), based upon simple lottery preference. This article show how the mathematics of lattice theory …

an increase in ambiguity is associated with increased investor activity. It also leads to a reduction in risk …

ambiguity model accommodates both ambiguity (uncertainty) and risk. For an incomplete, competitive asset market, we develop a … preferences to identify the ambiguity and risk indices as well as the ambiguity probability measure. We do not require ambiguity …

We derive the conditions for the optimal portfolio choice within a constant relative risk aversion type of utility … asset returns. We illustrate the role — beyond risk aversion — played by higher-order moments in the optimal decision to … form a portfolio of risky assets. In particular, we show that higher-order risk attitudes such as prudence and temperance …

preferences. Full insurance cannot be rejected. As the risk-sharing as-if-complete-markets theory might predict, estimated risk …We show how to use panel data on household consumption to directly estimate households’ risk preferences. Specifically …, we measure heterogeneity in risk aversion among households in Thai villages using a full risk-sharing model, which we …