Risk aversion heterogeneity and the investment-uncertainty relationship

DOI10.1007/s00712-018-0639-8zbMath1425.91163OpenAlexW1590526127WikidataQ128781506 ScholiaQ128781506MaRDI QIDQ2326200

Gianluca Femminis

Publication date: 7 October 2019

Published in: Journal of Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00712-018-0639-8

zbMATH Keywords

heterogeneityrisk aversionvolatilityaggregate investment

Mathematics Subject Classification ID

Utility theory (91B16) General equilibrium theory (91B50) Heterogeneous agent models (91B69)

Cites Work

• Asset prices in an exchange economy when agents have heterogeneous homothetic recursive preferences and no risk free bond is available
• Portfolio choice with non-expected utility in continuous time
• Cost uncertainty and the rate of investment
• On the investment-uncertainty relationship in a real options model
• Exchange rates dynamics with long-run risk and recursive preferences
• Imputing Risk Tolerance From Survey Responses
• A Parsimonious Macroeconomic Model for Asset Pricing
• EFFECTS OF DIFFERENCES IN RISK AVERSION ON THE DISTRIBUTION OF WEALTH
• Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework
• Uncertainty and Investment Dynamics

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