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Risk preferences in multi-period consumption models, the equity premium puzzle, and habit formation utility

Citations

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Cited by:

  1. Liu, Cong & Zheng, Harry, 2016. "Asymptotic analysis for target asset portfolio allocation with small transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 59-68.
  2. repec:onb:oenbwp:y::i:146:b:1 is not listed on IDEAS
  3. Bostian, AJ A. & Heinzel, Christoph, 2024. "Precautionary saving under recursive preferences," Journal of Economic Behavior & Organization, Elsevier, vol. 228(C).
  4. Liu, Desu, 2012. "Is relative risk aversion constant? A reinterpretation of recent asset allocation findings at the micro level," Economics Letters, Elsevier, vol. 117(1), pages 250-252.
  5. Post, Thomas & Hanewald, Katja, 2013. "Longevity risk, subjective survival expectations, and individual saving behavior," Journal of Economic Behavior & Organization, Elsevier, vol. 86(C), pages 200-220.
  6. Smith, William T. & Zhang, Qiang, 2007. "Asset pricing with multiplicative habit and power-expo preferences," Economics Letters, Elsevier, vol. 94(3), pages 319-325, March.
  7. Aj A Bostian & Christoph Heinzel, 2020. "Robustness of Inferences in Risk and Time Experiments to Lifecycle Asset Integration," Post-Print hal-03358620, HAL.
  8. Kazuyuki Sasakura, 2019. "Calculating a Giffen Good," Working Papers 1908, Waseda University, Faculty of Political Science and Economics.
  9. Kazuyuki Sasakura, 2021. "Calculating a Giffen Good," Italian Economic Journal: A Continuation of Rivista Italiana degli Economisti and Giornale degli Economisti, Springer;Società Italiana degli Economisti (Italian Economic Association), vol. 7(3), pages 349-369, November.
  10. Jack Meyer, 2010. "Representing risk preferences in expected utility based decision models," Annals of Operations Research, Springer, vol. 176(1), pages 179-190, April.
  11. Peter Siminski, 2009. "A Welfare Analysis of the Commonwealth Seniors Health Card," The Economic Record, The Economic Society of Australia, vol. 85(269), pages 164-180, June.
  12. William T. Smith & Qiang Zhang, 2006. "Asset Pricing With Multiplicative Habit and Power-Expo Preferences (Subsequently published in "Economics Letters", 2007, 94(3), 319-325. )," CARF F-Series CARF-F-070, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
  13. AJ A. Bostian & Christoph Heinzel, 2016. "Consumption Smoothing and Precautionary Saving under Recursive Preferences," FOODSECURE Working papers 44, LEI Wageningen UR.
  14. Conniffe, Denis, 2008. "Generalised Means of Simple Utility Functions with Risk Aversion," The Economic and Social Review, Economic and Social Studies, vol. 39(1), pages 1-12.
  15. Denis Conniffe, 2007. "The Generalised Extreme Value Distribution as Utility Function," The Economic and Social Review, Economic and Social Studies, vol. 38(3), pages 275-288.
  16. Chaigneau, Pierre, 2013. "Explaining the structure of CEO incentive pay with decreasing relative risk aversion," Journal of Economics and Business, Elsevier, vol. 67(C), pages 4-23.
  17. Carpentier, Alain & Gohin, Alexandre & Heinzel, Christoph, "undated". "Production Effects of Direct Payments to Active Farmers: a Microeconomic Dynamic and Stochastic Analysis," 123rd Seminar, February 23-24, 2012, Dublin, Ireland 122447, European Association of Agricultural Economists.
  18. Markus Knell, 2010. "The Optimal Mix Between Funded and Unfunded Pension Systems When People Care About Relative Consumption," Economica, London School of Economics and Political Science, vol. 77(308), pages 710-733, October.
  19. Donald Meyer & Jack Meyer, 2005. "Relative Risk Aversion: What Do We Know?," Journal of Risk and Uncertainty, Springer, vol. 31(3), pages 243-262, December.
  20. Liu, Liqun, 2012. "Inferring the rate of pure time preference under uncertainty," Ecological Economics, Elsevier, vol. 74(C), pages 27-33.
  21. Alpanda, Sami & Woglom, Geoffrey, 2007. "The Case Against Power Utility and a Suggested Alternative: Resurrecting Exponential Utility," MPRA Paper 5897, University Library of Munich, Germany.
  22. Angus Macdonald & Pradip Tapadar, 2010. "Multifactorial Genetic Disorders and Adverse Selection: Epidemiology Meets Economics," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 77(1), pages 155-182, March.
  23. Liu, Liqun & Meyer, Jack, 2025. "Almost stochastic dominance: Magnitude constraints on risk aversion," Insurance: Mathematics and Economics, Elsevier, vol. 122(C), pages 82-90.
  24. Kim, Sei-Wan & Krausz, Joshua & Nam, Kiseok, 2013. "Revisiting asset pricing under habit formation in an overlapping-generations economy," Journal of Banking & Finance, Elsevier, vol. 37(1), pages 132-138.
  25. Felix Kubler & Larry Selden & Xiao Wei, 2014. "When Is a Risky Asset "Urgently Needed"?," American Economic Journal: Microeconomics, American Economic Association, vol. 6(2), pages 131-162, May.
  26. Felix Kubler & Larry Selden & Xiao Wei, 2013. "Inferior Good and Giffen Behavior for Investing and Borrowing," American Economic Review, American Economic Association, vol. 103(2), pages 1034-1053, April.
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