scholarly journals Retracted: Portfolio Allocation and Asset Returns in an OLG Economy with Increasing Risk Aversion

2015 ◽  
Vol 23 (4) ◽  
pp. 836-836
Author(s):  
Amadeu DaSilva ◽  
Mira Farka
Keyword(s):  
Risk Aversion ◽  
Asset Returns ◽  
Portfolio Allocation ◽  
Increasing Risk

scholarly journals The Influence of Financial Literacy, Risk Aversion and Expectations on Retirement Planning and Portfolio Allocation in Malaysia

2017 ◽  
Vol 19 (3) ◽  
pp. 267 ◽  
Author(s):  
Nurul Shahnaz Mahdzan ◽  
Amrul Asraf Mohd-Any ◽  
Mun-Kit Chan
Keyword(s):  
Risk Aversion ◽  
Financial Literacy ◽  
Retirement Planning ◽  
Portfolio Allocation ◽  
Kuala Lumpur ◽  
Future Expectations ◽  
Risky Assets ◽  
Demographic Subgroups ◽  
Behavioural Aspects ◽  
Self Administered Questionnaire

The two objectives of this paper are to examine the effect of financial literacy, risk aversion and expectations on retirement planning; and, to investigate the effect of these antecedents on the retirement portfolio allocation. Data was collected via a self-administered questionnaire from a sample of 270 working individuals in Kuala Lumpur, Malaysia. Logistic and ordered probit regressions were employed to analyse the first and second objective, respectively.  The results from the logistic regression indicate that future expectations significantly influence the probability of planning for retirement. Meanwhile, individuals with higher financial literacy and lower risk aversion are more likely to hold risky assets in their retirement portfolios. Subsequently, two-sample t-test and one-way ANOVA tests were conducted to further examine the differences in financial literacy, risk aversion and expectations, across demographic subgroups. The study contributes to the literature by holistically incorporating the behavioural aspects that affect retirement planning and by exploring an uncharted issue of retirement planning—namely, the retirement portfolio allocation.

Power Law with Exponential Cut‐off Utility

Metamorphosis ◽  
2014 ◽  
Vol 13 (1) ◽  
pp. 26-32
Author(s):  
Afreen Arif H. ◽  
T.P.M. Pakkala
Keyword(s):  
Risk Aversion ◽  
Utility Function ◽  
Power Law ◽  
Risk Preferences ◽  
Portfolio Allocation ◽  
Utility Functions ◽  
Relative Risk Aversion ◽  
Optimal Solutions ◽  
New Class ◽  
Exponential Power

Most of the utility functions studied earlier concentrated on properties of risk aversion. In this article, the authors have introduced a new class of utility function called the Power Law with Exponential Cut-off (PLEC) utility function, which exhibits all the absolute and relative risk aversion and risk loving preferences of individuals, under various conditions. It generalises and encompasses other systems of utility functions like that of exponential power. Certain properties of this utility function are discussed. Sensitivity analysis exhibits different portfolio allocations for various risk preferences. The analysis also shows that arbitrary risk preferences may lead to biased risk response estimates. Performance of PLEC utility function in portfolio allocation problem is demonstrated through numerical examples. This is evaluated through optimal solutions.

The Uncertainty Premium in an Ambiguous Economy

2011 ◽  
Vol 01 (02) ◽  
pp. 323-354 ◽  
Author(s):  
Yehuda Izhakian ◽  
Simon Benninga
Keyword(s):  
Risk Aversion ◽  
Risk Premium ◽  
Equity Premium ◽  
Equity Premium Puzzle ◽  
Smooth Model ◽  
Increasing Risk ◽  
Premium Puzzle ◽  
Additional Explanation

The uncertainty premium is the premium that is derived from not knowing the sure outcome (risk premium) and from not knowing the precise odds of outcomes (ambiguity premium). We generalize Pratt's risk premium to uncertainty premium based on Klibanoff et al.'s (2005) smooth model of ambiguity. We show that the uncertainty premium can decrease with an increase in decision maker's risk aversion. This happens because increasing risk aversion always results in a lower ambiguity premium. The positive ambiguity premium may provide an additional explanation to the equity premium puzzle.

Increasing risk aversion and life-cycle investing

2018 ◽  
Vol 13 (2) ◽  
pp. 287-302 ◽  
Author(s):  
Kerry Back ◽  
Ruomeng Liu ◽  
Alberto Teguia
Keyword(s):  
Life Cycle ◽  
Risk Aversion ◽  
Increasing Risk ◽  
Life Cycle Investing

Moral Hazard, portfolio allocation, and asset returns for thrift institutions

1992 ◽  
Vol 5 (4) ◽  
pp. 315-339 ◽  
Author(s):  
Joseph A. Mckenzie ◽  
Rebel A. Cole ◽  
Richard A. Brown
Keyword(s):  
Moral Hazard ◽  
Asset Returns ◽  
Portfolio Allocation

scholarly journals Skewness Preference and Asset Pricing: Evidence from the Japanese Stock Market

2019 ◽  
Vol 12 (3) ◽  
pp. 149
Author(s):  
Yang ◽  
Nguyen
Keyword(s):  
Asset Pricing ◽  
Stock Market ◽  
Risk Aversion ◽  
Risk Premium ◽  
Asset Returns ◽  
Positive Skewness ◽  
Japanese Stock Market ◽  
Skewness Preference ◽  
Using Data ◽  
Investor Preference

Previous studies have shown that investor preference for positive skewness creates a potential premium on negatively skewed assets. In this paper, we attempt to explore the connection between investors’ skewness preferences and corresponding demand for a risk premium on asset returns. Using data from the Japanese stock market, we empirically study the significance of risk aversion with skewness preference that potentially delivers a premium. Compared to studies on other stock markets, our finding suggests that Japanese investors exhibit preference for positively skewed assets, but do not display dislike for ones that are negatively skewed. This implies that investors from different countries having dissimilar attitudes toward risk may possess different preferences toward positive skewness, which would result in a different magnitude of expected risk premium on negatively skewed assets.

Age‐Dependent Increasing Risk Aversion and the Equity Premium Puzzle

2019 ◽  
Vol 54 (2) ◽  
pp. 377-412 ◽  
Author(s):  
Amadeu DaSilva ◽  
Mira Farka ◽  
Christos Giannikos
Keyword(s):  
Risk Aversion ◽  
Equity Premium ◽  
Equity Premium Puzzle ◽  
Age Dependent ◽  
Increasing Risk ◽  
Premium Puzzle

scholarly journals Fear and citizen coordination against dictatorship

2018 ◽  
Vol 31 (1) ◽  
pp. 103-125 ◽  
Author(s):  
Abraham Aldama ◽  
Mateo Vásquez-Cortés ◽  
Lauren Elyssa Young
Keyword(s):  
Risk Aversion ◽  
Fear Appeals ◽  
Political Decision ◽  
Global Game ◽  
Autocratic Regime ◽  
Increasing Risk ◽  
The Impact ◽  
Political Decision Making ◽  
Increase In Risk ◽  
Do So

Despite numerous studies showing that emotions influence political decision making, there is scant literature giving a formal treatment to this phenomenon. This paper formalizes insights about how fear influences participation in risky collective action such as citizen revolt against an autocratic regime. To do so we build a global game and analyze the effects that fear may have on participation through increasing pessimism about the regime’s strength, increasing pessimism about the participation of others in the revolution, and increasing risk aversion. The impact of the first two effects of fear is a clear reduction in the probability that people will mobilize. However, an increase in risk aversion may in some circumstances increase the probability with which citizens will mobilize. These results may help explain the unpredictable reactions of citizens to fear appeals, including the threat of repressive violence.

Sign in / Sign up

Export Citation Format

Share Document