منابع مشابه
Relative 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 کاملRisk Aversion, Wealth and Background Risk¤
We use household survey data to construct a direct measure of absolute risk aversion based on the maximum price a consumer is willing to pay to enter a lottery. We relate this measure to consumers’ endowment and attributes and to measures of background risk. We ...nd that risk aversion is a decreasing function of endowment thus rejecting CARA preferences but that the elasticity to consumption i...
متن کاملMeasuring Risk Aversion and the Wealth Effect
Measuring risk aversion is sensitive to assumptions about the wealth in subjects’ utility functions. Data from the same subjects in lowand high-stake lottery decisions allow estimating the wealth in a pre-specified oneparameter utility function simultaneously with risk aversion. This paper first shows how wealth estimates can be identified assuming constant relative risk aversion (CRRA). Using ...
متن کاملCorrelation between Risk Aversion and Wealth distribution
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto’s wealth power law distribution. One important factor to be considered is the existence of risk aversion. In this paper we study a model where agents posses different levels of risk aversion, going from uniform to a random distribution. In all cases the risk aversion ...
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ژورنال
عنوان ژورنال: Information Sciences
سال: 2007
ISSN: 0020-0255
DOI: 10.1016/j.ins.2006.08.007