Intertemporal consumption with risk

Intertemporal Consumption with Risk: A Revealed Preference Analysis

A patient and risk-loving or risk-neutral participant could allocate the entire budget to the cheapest asset. At another extreme, a participant may purchase the ...

Intertemporal Consumption with Risk: A Revealed Preference Analysis

Lanier, Joshua & Miao, Bin & Quah, John & Zhong, Songfa, 2018. "Intertemporal Consumption with Risk: A Revealed Preference Analysis," MPRA Paper 86263, ...

Intertemporal preference with loss aversion: Consumption and risk ...

Parameter α t ( β t ) is the proportional cost of an upward (downward) consumption adjustment. This formulation means that there are mental utility costs from ...

Intertemporal Consumption With Risk: A Revealed Preference ...

We run an experiment designed to elicit preferences over state contingent, timed payouts. We analyze the data using a new revealed ...

Intertemporal Consumption with Risk: A Revealed Preference Analysis

We also find evidence in favor of stochastic impatience. Keywords: correlation aversion, temporal risk aversion, discounted expected utility, ...

INTERTEMPORAL CONSUMPTION WITH RISK - MIT Press Direct

and temporal risk aversion in Karady (1982). Page 3. INTERTEMPORAL CONSUMPTION WITH RISK: A REVEALED PREFERENCE ANALYSIS. 1321 exhibit correlation neutrality ...

Intertemporal Consumption with Risk: A Revealed Preference Analysis

We find that correlation neutrality, a property implied by discounted expected utility, is widely violated and there is, instead, strong evidence of ...

Intertemporal consumption with risk: a revealed preference analysis

Intertemporal consumption with risk: a revealed preference analysis. Joshua Lanier, Bin Miao, John K.-H. Quah, Songfa Zhong. June 12, 2020 ...

Intertemporal Elasticity of Substitution and Risk Aversion

We examine the relationship between risk aversion and IES using household consumption data from the Consumer Expenditure Survey during 1996 -2010. Multiple risk.

Intertemporal Consumption with Risk: A Revealed Preference Analysis

This paper presents a nonparametric, revealed preference analysis of intertemporal consumption with risk. In an experimental setting, subjects ...

Intertemporal Consumption with Risk: A Revealed Preference Analysis

Intertemporal Consumption with Risk: A Revealed Preference Analysis · Joshua Lanier, Bin Miao, +1 author. Songfa Zhong · Published in Review of Economics and… 1 ...

Intertemporal Consumption with Risk: A Revealed Preference Analysis

Our results indicate that risk and time preferences are intertwined. We find that decision makers are insensitive to time delay for small ...

Why does a higher risk aversion leads to a lower intertemporal ...

Risk-lovers, on the other hand, although also participate in the financial market, do not care about smoothing their consumption? Like if the ...

Seminar on "Intertemporal Consumption with Risk - Lingnan University

Despite its advantage of simplicity, DEU has a strong implication: the coefficient of relative risk aversion is the reciprocal of that of intertemporal ...

Intertemporal Preference with Loss Aversion: Consumption and Risk ...

The derived preference exhibits loss aversion toward a consumption gamble with the previous consumption level being the reference point. The ...

Risk Aversion Versus Intertemporal Substitution: A Case Study of ...

That is, the disparate estimates reflect near nonidentification due to the unpredictability of asset returns and consumption growth. One natural identifying ...

INTERTEMPORAL SUBSTITUTION, RISK AVERSION AND THE ...

3 This prediction may be hard to reconcile with stylised facts highlighted by Mehra and Prescott (1985): observed consumption growth has averaged 2 % over the ...

Intertemporal Risk and Currency Risk - SpringerLink

When 1/ρ is less than 1, an increase (or decrease) in the expected future nominal return increases (or decreases) the unexpected consumption.

Substitution, Risk Aversion, and the Temporal Behavior of ... - jstor

This paper develops a class of recursive, but not necessarily expected utility, preferences over intertemporal consumption lotteries.

Intertemporal Consumption with Risk: A Revealed Preference Analysis

Many important economic decisions involve agents choosing among risky consumption streams. The canonical way of representing preferences is known as the ...