Risk aversion in the expected and the nonexpected utility functions |
| |
| Authors: | Jaeho Cho Yoon Dokko |
| |
| Affiliation: | (1) Department of Economics and Finance, Baruch College, the City University of New York, 17 Lexington Avenue, 10010 NY, NY;(2) 350 Barrows Hall, Walter A. Haas School of Business, University of California at Berkeley, 94720 Berkeley, CA |
| |
| Abstract: | ![]()
If asset returns are i.i.d. over time, the preference parameter in the time additive von Neumann-Morgenstern expected utility is the risk aversion coefficient in the Epstein-Zin nonexpected utility. By distinguishing between risk aversion and intertemporal substitution, this article provides an explanation about the observed discrepancy in the empirical estimates of the risk aversion coefficient. |
| |
| Keywords: | Risk aversion coefficient time-additive expected utility nonexpected utility |
| 本文献已被 SpringerLink 等数据库收录！ |
|
