Facing a Risk: To Insure or Not to Insure—An Analysis with the Constant Relative Risk Aversion Utility Function

Cyber-risk decision models: To insure IT or not?

Article history: Received 17 April 2011 Received in revised form 20 November 2012 Accepted 23 April 2013 Available online xxxx

Dynamic Choice with Constant Source-Dependent Relative Risk Aversion

An axiomatic characterization of recursive utility with source-dependent constant relative risk aversion (CRRA), constant elasticity of intertemporal substitution, constant rate of impatience and subjective beliefs is established. The utility form is a minimal extension of Epstein-Zin-Weil utility that allows the CRRA to depend on the source of risk, a dependence that admits an ambiguity aversi...

On the stability of the constant relative risk aversion (CRRA) utility under high degrees of uncertainty

Growth models under uncertainty and constant relative risk aversion (CRRA) utility are fragile in explaining consumers’ choice, as equilibrium consumption is dependent on distributional assumptions. We show that, under semi-nonparametric distributions, general equilibrium models are stable, as the existence of expected utility is guaranteed. © 2011 Elsevier B.V. All rights reserved.

Decision criteria in risk analysis : an application of stochastic dominance with respect to a function

Relative Risk Aversion Is Constant: Evidence from Panel Data

Most classical tests of constant relative risk aversion (CRRA) based on individual portfolio composition use cross sectional data. Such tests must assume that the distributions of wealth and preferences are independent. We use panel data to analyze how individuals’ portfolio allocation between risky and riskless assets varies in response to changes in total financial wealth. We find the elastic...