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• W2518249067 abstract "For the first time in the literature, we derive an analytic expression for the representative agent of a fairly general class of economies populated by agents with “catching up with the Joneses” preferences, but with heterogeneous risk-aversion. As Chan and Kogan (2002) show numerically, the representative agent has stochastic risk-aversion that moves countercyclically with the state variable. However, we show that the heterogeneity of risk-aversion is unlikely to be able to explain the empirical regularities -namely the variability of the Sharpe ratio- that Campbell and Cochrane (1999) explain in a model of a representative agent with stochastic risk-aversion." @default.
• W2518249067 created "2016-09-16" @default.
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• W2518249067 date "2009-01-01" @default.
• W2518249067 modified "2023-09-28" @default.
• W2518249067 title "external habit-formation and heterogeneous risk-aversion" @default.
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• W2518249067 hasPublicationYear "2009" @default.
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