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...
متن کاملTime Dependent Relative Risk Aversion
Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors’ behavior from a macroeconomic aspect (modeled by the investors’ pricing kernel and their relative risk aversion) u...
متن کاملRelative risk aversion and wealth dynamics
As a follow-up to the work of [4] and [5], this paper continues to explore the relationship between wealth share dynamics and risk preferences in the context of an agent-based multi-asset artificial stock market. We simulate a multi-asset agent-based artificial stock market composed of heterogeneous agents with different degrees of relative risk aversion. As before, we find that the difference ...
متن کاملOptimal consumption and portfolio strategies when relative risk aversion from consumption differs from relative risk aversion from wealth
Relative risk aversion (RRA) of consumption (RRAC) differs from RRA of wealth (RRAW) is an empirical fact explained in the study of Meyer and Meyer (2005). However dynamic consumption/ investment problems are only solved in the finance literature when both RRA equal (RRAC = RRAW). Following the martingale route, we derive optimal consumption and investment solutions for a (CRRA) investor when b...
متن کاملVisual analog scales, standard gambles, and relative risk aversion.
BACKGROUND It has been argued that visual analog scales (VASs) elicit an individual's measurable value function. The theoretical link between an individual's measurable value function v(.) and his or her von Neumann-Morgenstem utility function u(.) appears to provide a justification for transforming VAS scores into standard gamble (SG) utilities. However, VAS scores have been found to be subjec...
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ژورنال
عنوان ژورنال: Economics Letters
سال: 2014
ISSN: 0165-1765
DOI: 10.1016/j.econlet.2014.01.010