Browsing Department of Economics by Subject "risk aversion"
Now showing items 1-2 of 2
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(Vanderbilt University, 2004)This paper uses a recursive time-non-separable expected utility function to separate between the intertemporal elasticity of substitution (IES) and a measure of relative risk aversion to bets in terms of money (RAM). Risk ...
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(Vanderbilt University, 2008)The standard power utility function is widely used to explain asset prices. It assumes that the coefficient of relative risk aversion is the inverse of the elasticity of substitution. Here I use the Kihlstrom and Mirman ...