Representative consumer's risk aversion and efficient risk-sharing rules

DOI10.1016/j.jet.2006.11.002zbMath1132.91490OpenAlexW3124041510MaRDI QIDQ2469863

Christoph Kuzmics, Chiaki Hara, James Huang

Publication date: 11 February 2008

Published in: Journal of Economic Theory (Search for Journal in Brave)

Full work available at URL: http://hermes-ir.lib.hit-u.ac.jp/hermes/ir/re/14542/pie_dp323.pdf

zbMATH Keywords

aggregationheterogeneous consumersmutual fund theoremabsolute risk tolerance

Mathematics Subject Classification ID

Related Items (16)

Standard risk aversion and efficient risk sharing ⋮ How suboptimal are linear sharing rules? ⋮ On the nature of certainty equivalent functionals ⋮ Heterogeneous impatience in a continuous-time model ⋮ On the concavity of consumption function under habit formation ⋮ Effects of background risks on cautiousness with an application to a portfolio choice problem ⋮ Optimal collective investment: an analysis of individual welfare ⋮ Risk-sharing and crises. Global games of regime change with endogenous wealth ⋮ Wealth distribution and output fluctuations ⋮ Collective risk aversion ⋮ Representative consumer's risk aversion and efficient risk-sharing rules ⋮ A numerical approach for a class of risk-sharing problems ⋮ Nonmyopic optimal portfolios in viable markets ⋮ GENERAL PROPERTIES OF ISOELASTIC UTILITY ECONOMIES ⋮ Non-parametric counterfactual analysis in dynamic general equilibrium ⋮ Borch's theorem, equal margins, and efficient allocation

Cites Work

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• Nonparametric risk management and implied risk aversion
• Representative consumer's risk aversion and efficient risk-sharing rules
• Wealth Inequality and Asset Pricing
• When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel
• Equilibrium in a Reinsurance Market

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