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

DOI10.1016/J.JET.2006.11.002MaRDI QIDQ2469863zbMATH OpenOpenAlexFDO

Authors Chiaki Hara, James Huang, Christoph Kuzmics

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

absolute risk toleranceaggregationheterogeneous consumersmutual fund theorem

Mathematics Subject Classification ID

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Cites work

• Equilibrium in a Reinsurance Market
• Heterogeneity and option pricing
• scientific article; zbMATH DE number 41105 (Why is no real title available?)
• Impact of divergent consumer confidence on option prices
• Nonparametric risk management and implied risk aversion
• Representative consumer's risk aversion and efficient risk-sharing rules
• The economics of risk and time
• Wealth inequality and asset pricing
• When are Options Overpriced? The Black—Scholes Model and Alternative Characterisations of the Pricing Kernel

Cited in

(21)

• Risk-sharing CARA individuals are collectively EU
• Standard risk aversion and efficient risk sharing
• Heterogeneous impatience in a continuous-time model
• Nonmyopic optimal portfolios in viable markets
• Risk-sharing and crises. Global games of regime change with endogenous wealth
• Collective risk aversion
• Representative consumer's risk aversion and efficient risk-sharing rules
• Borch's theorem, equal margins, and efficient allocation
• Optimal collective investment: an analysis of individual welfare
• Efficient risk sharing: the last frontier
• How suboptimal are linear sharing rules?
• General properties of isoelastic utility economies
• A numerical approach for a class of risk-sharing problems
• Effective risk aversion in thin risk‐sharing markets
• Non-parametric counterfactual analysis in dynamic general equilibrium
• On the concavity of consumption function under habit formation
• Effects of background risks on cautiousness with an application to a portfolio choice problem
• Wealth distribution and output fluctuations
• New challenges in the interplay between finance and insurance. Abstracts from the workshop held October 1--6, 2023
• When free-riding on contributing to an impurely shared good decreases with greater concentration of interests
• On the nature of certainty equivalent functionals

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