Relative Risk Aversion: Increasing or Decreasing?
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...
متن کاملDecreasing downside risk aversion and background risk
In this paper, we show that risk vulnerability can be associatedwith the concept of downside risk aversion (DRA) and an assumption about its behavior, namely that it is decreasing inwealth. Specifically, decreasing downside risk aversion in the Arrow–Pratt and Ross senses are respectively necessary and sufficient for a zero-mean background risk to raise the aversion to other independent risks. ...
متن کاملDecreasing relative risk premium
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...
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 کاملRisk Aversion or Myopia?
We study how decision makers choose when faced with multiple plays of a gamble or investment. When evaluating multiple plays of a simple mixed gamble, a chance to win x or lose y, subjects show a sensitivity to the amount to lose on a single trial, holding the distribution of returns for the portfolio constant; that is, they display “myopic loss aversion.” Many subjects who decline multiple pla...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Journal of Financial and Quantitative Analysis
سال: 1979
ISSN: 0022-1090
DOI: 10.2307/2330498