Decreasing Relative Risk Aversion and Tests of Risk Sharing
نویسندگان
چکیده
منابع مشابه
Decreasing Relative Risk Aversion
The testable implication of the complete risk-sharing hypothesis depends on what is assumed on households' relative risk aversion (RRA) coefficient. We therefore use a hyperbolic absolute risk aversion (HARA) utility function, which includes increasing, constant, and decreasing RRA as special cases, to test this hypothesis. Using household level total non-durable consumption data from Indian vi...
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We consider the risk premium π demanded by a decision maker with present wealth x in order to be indifferent between obtaining a new level of wealth y1 with certainty, or to participate in a lottery which either results in unchanged wealth x or a level of wealth y2 > y1. We then define the relative risk premium λ as the quotient between π and the increase in wealth y1−x which the decision maker...
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ژورنال
عنوان ژورنال: Econometrica
سال: 2001
ISSN: 0012-9682,1468-0262
DOI: 10.1111/1468-0262.00201