Correlation between risk aversion and wealth distribution
نویسندگان
چکیده
منابع مشابه
Correlation between Risk Aversion and Wealth distribution
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto’s wealth power law distribution. One important factor to be considered is the existence of risk aversion. In this paper we study a model where agents posses different levels of risk aversion, going from uniform to a random distribution. In all cases the risk aversion ...
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We use household survey data to construct a direct measure of absolute risk aversion based on the maximum price a consumer is willing to pay to enter a lottery. We relate this measure to consumers’ endowment and attributes and to measures of background risk. We ...nd that risk aversion is a decreasing function of endowment thus rejecting CARA preferences but that the elasticity to consumption i...
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Measuring risk aversion is sensitive to assumptions about the wealth in subjects’ utility functions. Data from the same subjects in lowand high-stake lottery decisions allow estimating the wealth in a pre-specified oneparameter utility function simultaneously with risk aversion. This paper first shows how wealth estimates can be identified assuming constant relative risk aversion (CRRA). Using ...
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As a follow-up to the work of [4] and [5], this paper continues to explore the relationship between wealth share dynamics and risk preferences in the context of an agent-based multi-asset artificial stock market. We simulate a multi-asset agent-based artificial stock market composed of heterogeneous agents with different degrees of relative risk aversion. As before, we find that the difference ...
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Economists attribute many common behaviors to risk aversion and frequently focus on how wealth moderates risk preferences. This paper highlights a problem associated with empirical tests of the relationship between wealth and risk aversion that can arise when the probabilities individuals face are unobservable to researchers. The common remedy for unobservable probabilities involves the estimat...
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ژورنال
عنوان ژورنال: Physica A: Statistical Mechanics and its Applications
سال: 2004
ISSN: 0378-4371
DOI: 10.1016/j.physa.2004.04.077