"Laplace distribution risk averse" For instance, if the distribution function F over exponents is gamma, then u becomes a HARA utility with decreasing risk aversion

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1. MIT Economics : Xiao Yu Wang

   economics.mit.edu › ... › Xiao Yu Wang‎

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   This results in an increase in the risk borne by the most risk-averse agents, who ... is distributed according to a Laplace distribution, which resembles a normal ...
2. [PDF]

   Myopic Portfolio Choice with Higher Cumulants - People.fas.harvard ...

   www.people.fas.harvard.edu/~edavila/papers/cumulant.pdf‎

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   由 E Dávila 著作 - ‎2010 - ‎被引用 1 次 - ‎相關文章

   However, I also provide new intuition with a constant relative risk aversion (CRRA) .... Laplace and Gumbel distributions I can solve for the equilibrium price in a ...

3. The Laplace Distribution and Generalizations: A Revisit With ...

   books.google.com.hk/books?isbn=0817641661 - 翻譯這個網頁

   Samuel Kotz, ‎Tomasz J. Kozubowski, ‎Krzysztof Podgórski - 2001 - ‎Business & Economics

   The situation is essentially different for the risk neutral process where an ... the log-normal model is rejected in favor of the symmetric Laplace motion in 30.8% of ...
4. [PDF]

   A Note on Moral Hazard and Linear Compensation Schemes

   econ.duke.edu/.../wang-a-note-on-mh-and-linearity.origin...‎

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   由 XY Wang 著作 - ‎2013 - ‎被引用 3 次

   2013年7月18日 - The key property of the Laplace distribution is that the likelihood ratio is a ... ditions for a model with a risk-averse principal and a risk-averse ...
5. [PDF]

   Risk Averse Behavior in Generalized Matching Pennies ... - CiteSeer

   citeseerx.ist.psu.edu/viewdoc/download?doi=10.1...‎

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   由 JK Goeree 著作 - ‎2002 - ‎被引用 135 次 - ‎相關文章

   that a structural econometric model which incorporates risk aversion into a quantal response .... preference shock, with a double exponential distribution.

6. Research - Alexis Akira Toda - Google Sites

   https://sites.google.com/site/aatoda111/research‎

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   In the model, agents who face aggregate and idiosyncratic investment risk can ... are irrelevant for risk sharing when agents have a common relative risk aversion. ... In particular, the distribution of log income is approximately Laplace (double ...
7. [PDF]

   Mixed Risk Aversion

   pagines.uab.cat/jcaballe/sites/pagines.uab.cat.../17.pdf‎

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   由 J Caballe 著作 - ‎1996 - ‎被引用 104 次 - ‎相關文章

   displaying mixed risk aversion can be expressed as mixtures of exponential func- ... averse. Finally, the analysis of the distribution function describing a mixed ...
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   The Distribution of Risk Aversion∗ - HKUST Business School

   www.bm.ust.hk/.../TheDistributionofRiskAversion_Gurdip...‎

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   由 G Bakshia 著作 - ‎被引用 6 次 - ‎相關文章

   paradigm that enforces positive skewness in the risk aversion distribution. The evidence ... market-index are positive exponential in the market return. Hence ...

9. Value at Risk Measurement Research Based on Laplace Distribution

   www.research-degree-thesis.com/showinfo-140-1354130-...‎

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   VaR(value-at-risk)method has become the mainstream for risk management and ... that the measurement model based on the Laplace distribution is better than the ... Time-Price Coordination Model Based on Risk Aversion in MTO Company.
10. [PDF]

    Complete monotonicity, background risk, and risk aversion

    pareto.uab.es/jcaballe/Papers/MatSocSci.pdf‎

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    由 J Caballe 著作 - ‎1997 - ‎被引用 2 次 - ‎相關文章

    For instance, if the distribution function F over exponents is gamma, then u becomes a HARA utility with decreasing risk aversion (see. Feller, 1971, p. 430).