In this paper, we study the effect of proportional transactions costs on asset prices and liquidity premia in a general equilibrium economy with multiple agents who are heterogeneous. The agents in our model have Epstein-Zin-Weil utility functions and can be heterogeneous with respect to endowments and all three characteristics of their utility functions – time preference, risk aversion, and el...

This paper examines the relationship between two types of preference: preference of intertemporal choices and preference towards risk. In the simplest form of the constant relative risk aversion utility function, the intertemporal elasticity of substitution (IES) and risk aversion has an inverse relationship. However, there is no empirical evidence that suggests this inverse relationship holds....

studying risk and frequency analysis of flood is done in order to design structures located in floody lands. in hydrological and water resources engineering projects, first of all, we should determine frequency of this phenomenon- their return period. in this research, the method of planning, the cumulative freguency curve is explained and probability and return period and errors concerning sma...

Decreased elasticity in large and medium-sized arteries has been postulated to be associated with cardiovascular diseases. We prospectively examined the relation between arterial elasticity and the development of hypertension over 6 years of follow-up in a cohort of 6992 normotensive men and women aged 45 to 64 years at baseline from the biracial, population-based Atherosclerosis Risk in Commun...

OBJECTIVES Vascular intima-media thickness (IMT) and elasticity are surrogate markers of atherosclerosis. Data on the effect of cardiorespiratory fitness on these measures of vascular health in adolescence are scarce. The aim was to examine the association of fitness with aortic and carotid artery IMT and elasticity in adolescents. METHODS Aortic (n = 449) and carotid (n = 467) IMT and elasti...

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...

We document cash management patterns for households that are at odds with the predictions of deterministic inventory models that abstract from precautionary motives. We extend the Baumol-Tobin cash inventory model to a dynamic environment that allows for the possibility of withdrawing cash at random times at a low cost. This modification introduces a precautionary motive for holding cash and na...

In this short paper, uncertainties on resource stock and on technical progress are introduced into an intertemporal equilibrium model of optimal extraction of a non-renewable resource. The representative consumer maximizes a recursive utility function which disentangles between intertemporal elasticity of substitution and risk aversion. A closed-form solution is derived for both the optimal ext...

We document cash management patterns for households that are at odds with the predictions of deterministic inventory models that abstract from precautionary motives. We extend the Baumol–Tobin cash inventory model to a dynamic environment that allows for the possibility of withdrawing cash at random times at a low cost. This modification introduces a precautionary motive for holding cash and na...