MEAN-GINI ANALYSIS, STOCHASTIC EFFICIENCY AND WEAK RISK AVERSION

What Drives Stochastic Risk Aversion

I examine determinants of stochastic relative risk aversion in conditional asset pricing models. I first develop time-series specification tests with nonlinear state-space models with heteroskedasticity based on Merton (1973)’s ICAPM. I then established the following facts. First, the surplus consumption ratio implied by the external habit formation model is the most important determinant of re...

Stochastic Dominance and Absolute Risk Aversion

In this paper we propose the inÞmum of the Arrow-Pratt index of absolute risk aversion as a measure of global risk aversion of a utility function. We then show that, for any given arbitrary pair of distributions, there exists a threshold level of global risk aversion such that all increasing concave utility functions with at least as much global risk aversion would rank the two distributions in...

Utility Maximization, Risk Aversion, and Stochastic Dominance

Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal payoff. Economic intuition suggests that high risk aversion leads to a rather concentrated distribution, whereas lower risk aversion results in a higher average payoff at the expense of a more widesp...

Statistical map analysis of the mean and the gini coefficient of healthcare expenses in Iran

In many societies fairness and equality are the most significant concepts among the governments and peoples. In the health systems, the fast increase in expenses takes expert’s attention to measure and control the inequality. The aim of this paper is to investigate the inequality of household’s health expense’s in the Iran and making its statistical map. The health expenses data for doing t...

Robustness of Non-Parametric Measurement of Efficiency and Risk Aversion