Risk-Sensitive Preferences and Age-Dependent Risk Aversion

Comparative Risk Aversion for State-Dependent Preferences

Time Dependent Relative Risk Aversion

Risk management and the thorough understanding of the relations between financial markets and the standard theory of macroeconomics have always been among the topics most addressed by researchers, both financial mathematicians and economists. This work aims at explaining investors’ behavior from a macroeconomic aspect (modeled by the investors’ pricing kernel and their relative risk aversion) u...

Context-dependent, risk-sensitive foraging preferences in wild rufous hummingbirds.

We tested the risk-sensitive foraging preferences of wild rufous hummingbirds, Selasphorus rufus, with three types of artificial flowers. All three flower types provided the same mean volume of 30 µl of sucrose, but differed in terms of variability of the reward: constant, low variance and high variance. In trinary comparisons, subjects preferred the low-variance reward over the constant reward...

Risk Aversion and Risk Premiums with Dependent Risks

By using a general bivariate utility function, this paper provides the conditions under which agents would like to remove primary risk in the presence of other dependent risk. For small risks, the conditions for retaining primary risk along with other dependent risk are also provided. The results of this paper indicate that the risk attitude to primary risk depends not only on the dependence re...

Risk Preferences and Loss Aversion in Portfolio Optimization

Traditionally, portfolio optimization is associated with finding the ideal trade-off between return and risk by maximizing the expected utility. Investor’s preferences are commonly assumed to follow a quadratic or power utility function, and asset returns are often assumed to follow a Gaussian distribution. Investment analysis has therefore long been focusing on the first two moments of the dis...