Increasing Risk Aversion, Habits, and Life-Cycle Investing

2015 ◽  
Author(s):  
Kerry Back ◽  
Ruomeng Liu ◽  
Alberto Teguia
Keyword(s):  
Life Cycle ◽  
Risk Aversion ◽  
Increasing Risk ◽  
Life Cycle Investing

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

Life Cycle Investing and Smart Beta Strategies

2017 ◽  
Author(s):  
Bill Carson ◽  
Sara Shores ◽  
Nicholas Nefouse
Keyword(s):  
Life Cycle ◽  
Life Cycle Investing ◽  
Smart Beta

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.

scholarly journals Risk sharing and individual life-cycle investing in funded collective pensions

2012 ◽  
Vol 15 (2) ◽  
pp. 103-124 ◽  
Author(s):  
Roderick Molenaar ◽  
Eduard Ponds
Keyword(s):  
Life Cycle ◽  
Risk Sharing ◽  
Individual Life ◽  
Life Cycle Investing

Life-Cycle Investing and Smart Beta Strategies

2017 ◽  
Vol 5 (2) ◽  
pp. 66-82
Author(s):  
Bill Carson ◽  
Sara Shores ◽  
Nicholas Nefouse
Keyword(s):  
Life Cycle ◽  
Life Cycle Investing ◽  
Smart Beta
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