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Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules

Citations

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Cited by:

  1. Sylvia Sarantopoulou-Chiourea & George Skiadopoulos, 2015. "A New Predictor of Real Economic Activity: The S&P 500 Option Implied Risk Aversion," Working Papers 741, Queen Mary University of London, School of Economics and Finance.
  2. Lambrecht, Bart & Chen, Shiqi, 2019. "Financial Policies and Internal Governance with Heterogeneous Risk Preferences," CEPR Discussion Papers 13888, C.E.P.R. Discussion Papers.
  3. Laurent E. Calvet & Paolo Sodini, 2014. "Twin Picks: Disentangling the Determinants of Risk-Taking in Household Portfolios," Journal of Finance, American Finance Association, vol. 69(2), pages 867-906, April.
  4. Hara, Chiaki & 原, 千秋 & ハラ, チアキ, 2008. "Heterogeneous Impatience in a Continuous-Time Model," PIE/CIS Discussion Paper 396, Center for Intergenerational Studies, Institute of Economic Research, Hitotsubashi University.
  5. Hara, Chiaki, 2008. "Complete monotonicity of the representative consumer's discount factor," Journal of Mathematical Economics, Elsevier, vol. 44(12), pages 1321-1331, December.
  6. Elyès Jouini & Clotilde Napp & Diego Nocetti, 2013. "Collective risk aversion," Social Choice and Welfare, Springer;The Society for Social Choice and Welfare, vol. 40(2), pages 411-437, February.
  7. Evren Ceritoğlu, 2018. "Self-insurance and consumption risk-sharing between birth-year cohorts in Turkey," Review of Economics of the Household, Springer, vol. 16(4), pages 1085-1118, December.
  8. Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2007. "Representative consumer's risk aversion and efficient risk-sharing rules," Journal of Economic Theory, Elsevier, vol. 137(1), pages 652-672, November.
  9. Suen, Richard M.H., 2018. "Standard risk aversion and efficient risk sharing," Economics Letters, Elsevier, vol. 173(C), pages 23-26.
  10. Bjarne Astrup Jensen & Jørgen Aase Nielsen, 2016. "How suboptimal are linear sharing rules?," Annals of Finance, Springer, vol. 12(2), pages 221-243, May.
  11. Campos, Rodolfo G., 2013. "Risk-sharing and crises. Global games of regime change with endogenous wealth," Journal of Economic Theory, Elsevier, vol. 148(4), pages 1624-1658.
  12. Ghiglino, Christian & Venditti, Alain, 2011. "Wealth distribution and output fluctuations," Journal of Economic Theory, Elsevier, vol. 146(6), pages 2478-2509.
  13. Dean T. Jamison & Julian Jamison, 2010. "Characterizing the amount and speed of discounting procedures," Working Papers 10-14, Federal Reserve Bank of Boston.
  14. Chiaki Hara & James Huang & Christoph Kuzmics, 2006. "Efficient Risk-Sharing Rules with Heterogeneous Risk Attitudes and Background Risks," KIER Working Papers 621, Kyoto University, Institute of Economic Research.
  15. Beißner, Patrick, 2016. "Radner Equilibria under Ambiguous Volatility," Center for Mathematical Economics Working Papers 493, Center for Mathematical Economics, Bielefeld University.
  16. Marc Fleurbaey & Stéphane Zuber, 2021. "Fair Utilitarianism," American Economic Journal: Microeconomics, American Economic Association, vol. 13(2), pages 370-401, May.
  17. Hennessy, David A. & Lapan, Harvey E., 2006. "On the nature of certainty equivalent functionals," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 1-10, December.
  18. Sara Jonsson & Inga-Lill Söderberg, 2018. "Investigating explanatory theories on laypeople’s risk perception of personal economic collapse in a bank crisis – the Cyprus case," Journal of Risk Research, Taylor & Francis Journals, vol. 21(6), pages 763-779, June.
  19. Calvet, Laurent-Emmanuel & Grandmont, Jean-Michel & Lemaire, Isabelle, 2018. "Aggregation of heterogenous beliefs, asset pricing, and risk sharing in complete financial markets," Research in Economics, Elsevier, vol. 72(1), pages 117-146.
  20. Christian Gollier & Richard Zeckhauser, 2003. "Collective Investment Decision Making with Heterogeneous Time Preferences," CESifo Working Paper Series 915, CESifo.
  21. Jamison Dean T. & Jamison Julian, 2011. "Characterizing the Amount and Speed of Discounting Procedures," Journal of Benefit-Cost Analysis, De Gruyter, vol. 2(2), pages 1-56, April.
  22. Hara, Chiaki & Huang, James & Kuzmics, Christoph, 2011. "Effects of background risks on cautiousness with an application to a portfolio choice problem," Journal of Economic Theory, Elsevier, vol. 146(1), pages 346-358, January.
  23. Toda, Alexis Akira & Walsh, Kieran James, 2014. "The Equity Premium and the One Percent," MPRA Paper 79009, University Library of Munich, Germany, revised 28 Feb 2017.
  24. Nicole Branger & An Chen & Antje Mahayni & Thai Nguyen, 2023. "Optimal collective investment: an analysis of individual welfare," Mathematics and Financial Economics, Springer, volume 17, number 5, December.
  25. Carlier, G. & Lachapelle, A., 2011. "A numerical approach for a class of risk-sharing problems," Journal of Mathematical Economics, Elsevier, vol. 47(1), pages 1-13, January.
  26. Chiaki Hara, 2018. "Equilibrium Prices of the Market Portfolio in the CAPM with Incomplete Financial Markets," KIER Working Papers 1005, Kyoto University, Institute of Economic Research.
  27. Felix Kubler & Karl Schmedders, 2010. "Non-parametric counterfactual analysis in dynamic general equilibrium," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 45(1), pages 181-200, October.
  28. Christian Ghiglino & Alain Venditti, 2008. "The role of the wealth distribution on output volatility," Working Papers halshs-00281379, HAL.
  29. Chiaki Hara, 2006. "Heterogeneous Risk Attitudes In A Continuous‐Time Model," The Japanese Economic Review, Japanese Economic Association, vol. 57(3), pages 377-405, September.
  30. Gollier, Christian, 2003. "Who Should we Believe? Collective Risk-Taking Decisions with Heterogeneous Beliefs," IDEI Working Papers 201, Institut d'Économie Industrielle (IDEI), Toulouse.
  31. Christian Gollier, 2003. "Collective Risk-Taking Decisions with Heterogeneous Beliefs," CESifo Working Paper Series 909, CESifo.
  32. J. Aquilina & L. C. G. Rogers, 2004. "The Squared Ornstein‐Uhlenbeck Market," Mathematical Finance, Wiley Blackwell, vol. 14(4), pages 487-513, October.
  33. Liu, Haoyu & Li, Lun, 2023. "On the concavity of consumption function under habit formation," Journal of Mathematical Economics, Elsevier, vol. 106(C).
  34. Hennessy, David A. & Lapan, Harvey E., 2006. "On the nature of certainty equivalent functionals," Journal of Mathematical Economics, Elsevier, vol. 43(1), pages 1-10, December.
  35. Flåm, Sjur Didrik, 2016. "Borch’s theorem, equal margins, and efficient allocation," Insurance: Mathematics and Economics, Elsevier, vol. 70(C), pages 162-168.
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