A production-based equilibrium model jointly prices bond and stock returns produces time-varying correlation between real treasury that changes in both magnitude sign. The term premium is incorporates risk aversion two physical technologies with different cash-flow risks. Bonds hedge risk-aversion shocks command negative through this channel. Cash-flow produce co-movement of positive premium. R...

We use structural methods to assess equilibrium models of bidding with data from firstprice auction experiments. We identify conditions to test the Nash equilibrium models for homogenous and for heterogeneous constant relative risk aversion when bidders’ private valuations are independent and uniformly drawn. The outcomes of our study indicate that behavior may have been affected by the procedu...

An agronomic crop growth model—the Decision Support System for Agro-Technology Transfer—and a constant relative risk aversion utility function are used to examine corn irrigation strategies in Mitchell County, Georgia. Precipitation contracts are designed to help farmers manage risk. Three conclusions originate from the findings. First, the optimal irrigation strategy can greatly increase produ...

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...

identification and analysis of farmers’ vulnerability associated with their risk aversion degree is one of the necessary requirements for planning and reducing impacts of drought in iran. so, this study was investigated three risk vulnerability parameters (economic, social and technical) among wheat farmers categorized in accordance with their risk aversion degree in the mashhad county (iran) b...

We propose a dynamic portfolio choice model with the mean-variance criterion for log returns. The yields time-consistent policies and is analytically tractable even under some incomplete market settings. conform conventional investment wisdom (e.g., richer people should invest more absolute amounts of money in risky assets; longer time horizon, proportional amount be invested long-term investme...

We study a continuous-time version of the optimal risk-sharing problem with one-sided commitment. In the optimal contract, the agent’s consumption is a time-invariant, strictly increasing function of a single state variable: the maximal level of the agent’s income realized to date. We characterize this function in terms of the agent’s outside option value function and the discounted amount of t...

In this paper we provide estimates of the coefficient of relative risk aversion using information on selfreports of subjective personal well-being from three datasets: the Gallup World Poll, the European Social Survey, and the World Values Survey. We additionally consider the implications of allowing for health state dependence in the utility function on estimates of risk aversion and examine h...

Farmers’ risk preferences play an important role in agricultural production decisions, takers means the farmers who are willing to take risky decisions farming, aversion attitude of reluctance farming. Climatic change effects all regions across globe and causes substantial agitations that can be expected natural systems have foreseeable influences on economic upland through both direct indirect...

We introduce a methodology, with two applications, that incorporates stochastic interest rates, heteroskedasticity and risk aversion into the residual income model. In the first application, goodwill is an affine (constant plus linear term) function where the constant and linear coefficients are time-varying. Homoskedastic risk gives rise to a constant risk premium, while heteroskedastic risk g...