scholarly journals Risk Aversion, Risk Premia, and the Labor Margin with Generalized Recursive Preferences

2013 ◽  
pp. 01-45 ◽  
Author(s):  
Eric T. Swanson ◽  
Keyword(s):  
Risk Aversion ◽  
Risk Premia ◽  
Recursive Preferences

Risk aversion, risk premia, and the labor margin with generalized recursive preferences

2018 ◽  
Vol 28 ◽  
pp. 290-321 ◽  
Author(s):  
Eric T. Swanson
Keyword(s):  
Risk Aversion ◽  
Risk Premia ◽  
Recursive Preferences

Real estate and relative risk aversion with generalized recursive preferences

2021 ◽  
Vol 68 ◽  
pp. 103310
Author(s):  
Sungjun Huh ◽  
Insu Kim
Keyword(s):  
Relative Risk ◽  
Real Estate ◽  
Risk Aversion ◽  
Relative Risk Aversion ◽  
Recursive Preferences

DE FINETTI ON RISK AVERSION

2009 ◽  
Vol 25 (2) ◽  
pp. 153-159
Author(s):  
Joseph B. Kadane ◽  
Gaia Bellone
Keyword(s):  
Risk Aversion ◽  
Absolute Risk ◽  
Risk Premia ◽  
Absolute Risk Aversion ◽  
Kenneth Arrow ◽  
De Finetti ◽  
Constant Absolute Risk Aversion ◽  
Special Case

According to Mark Rubinstein (2006) ‘In 1952, anticipating Kenneth Arrow and John Pratt by over a decade, he [de Finetti] formulated the notion of absolute risk aversion, used it in connection with risk premia for small bets, and discussed the special case of constant absolute risk aversion.’ The purpose of this note is to ascertain the extent to which this is true, and at the same time, to correct certain minor errors that appear in de Finetti's work.

scholarly journals Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities

2011 ◽  
Vol 160 (1) ◽  
pp. 235-245 ◽  
Author(s):  
Tim Bollerslev ◽  
Michael Gibson ◽  
Hao Zhou
Keyword(s):  
Risk Aversion ◽  
Risk Premia ◽  
Volatility Risk ◽  
Dynamic Estimation

scholarly journals Implications of Labor Market Frictions for Risk Aversion and Risk Premia

2014 ◽  
pp. 01-47
Author(s):  
Eric T. Swanson ◽  
Keyword(s):  
Labor Market ◽  
Risk Aversion ◽  
Risk Premia ◽  
Market Frictions ◽  
Labor Market Frictions

scholarly journals Measuring Long Run Risks for Brazil

2019 ◽  
Vol 39 (1) ◽  
Author(s):  
Caio Almeida ◽  
Diego Brandao
Keyword(s):  
Temporal Structure ◽  
Risk Premia ◽  
Risk Compensation ◽  
Market Returns ◽  
Power Utility ◽  
Recursive Preferences ◽  
Aggregate Consumption ◽  
Long Run ◽  
Permanent Shocks ◽  
Long Run Risks

We study the temporal structure of risk prices, risk exposures and expected market returns for Brazil assuming the economy follows a long run risks model. The model consists on an endowment economy where aggregate consumption and dividend growth contain predictable components, and a representative agent has Epstein-Zin recursive preferences with CES specification. We show that aggregate consumption in Brazil is sufficiently predictable to generate risk premia associated with Epstein-Zin preferences in excess of traditional compensations induced by power utility. Moreover, risk compensation is dominated by permanent shocks both in the short and long run, as Epstein-Zin preferences mitigate the price of temporary shocks' risk.

scholarly journals Bond risk premia in consumption‐based models

10.3982/qe887 ◽  
2020 ◽  
Vol 11 (4) ◽  
pp. 1461-1484 ◽  
Author(s):  
Drew D. Creal ◽  
Jing Cynthia Wu
Keyword(s):  
Term Structure ◽  
Time Preference ◽  
Risk Premia ◽  
Recursive Preferences ◽  
Affine Term Structure ◽  
Affine Term Structure Models ◽  
Bond Risk Premia ◽  
Bond Risk ◽  
Term Premia ◽  
Conditional Means

Gaussian affine term structure models attribute time‐varying bond risk premia to changing risk prices driven by the conditional means of the risk factors, while structural models with recursive preferences credit it to stochastic volatility. We reconcile these competing channels by introducing a novel form of stochastic rate of time preference into an otherwise standard model with recursive preferences. Our model is affine and has analytical bond prices making it empirically tractable. We use particle Markov chain Monte Carlo to estimate the model, and find that time variation in bond term premia is predominantly driven by the risk price channel.

From Time Varying Risk-Aversion to Anomalies in Market Momentss Risk Premia

2015 ◽  
Author(s):  
Dennis Bams ◽  
Iman Honarvar ◽  
Thorsten Lehnert
Keyword(s):  
Risk Aversion ◽  
Risk Premia ◽  
Time Varying
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