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 ...

Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M) model to estimate a time-varying measure of risk aversion that is based on the observed risk preferences of energy hedging market participants. The resulting estimates are applied to derive expli...

We investigate a representative agent consumption-based asset pricing model with two states: low risk aversion and high risk aversion. We explore whether there is a reasonable parameterization capable of generating the empirically observed seasonally-varying equity and Treasury returns documented by Kamstra, Kramer, and Levi (2008). Calibrating the asset-pricing model to observed consumption da...

This paper examines how aversion to risk and aversion to intertemporal substitution determine the strength of the precautionary saving motive in a two-period model with Selden/Kreps-Porteus preferences. For small risks, we derive a measure of the strength of the precautionary saving motive which generalizes the concept of "prudence" introduced by Kimball (1990b). For large risks, we show that d...

We correlate choice under risk in Holt-Laury lottery tasks for gains and losses with salivary testosterone, estradiol, progesterone, and cortisol, the use of hormonal contraceptives, menstrual cycle information as well as the digit ratio (2D:4D) in more than 200 subjects. Risk aversion is negatively correlated with testosterone and positively correlated with cortisol, a stress hormone, for gain...

Conditioned food or flavor aversion has been proposed as a method to stop coyote predation on sheep. The method entails treating sheep carcasses or meat baits with an emetic, lithium chloride (LiCl), and scattering them on sheep ranges. Theoretically, coyotes eat the baits, become ill, and subsequently desist from killing and eating sheep because they associate sheep flavor with sickness. In re...