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- W3124450198 abstract "This paper focuses on the consequences on asset allocation of an empirical fact outlined in a recent survey of the literature about risk aversion (Meyer and Meyer, 2005): Investors are more risk averse toward consumption than they are toward wealth. We demonstrate that this empirical fact can be assessed with the study of a single financial variable. This variable measures the share of wealth that investors set aside to satisfy their future consumption. We show that this variable depends on wealth only when the empirical case is considered. Our findings build on some methodological results developed by Karatzas et al. (1987) as well as insights provided by Wachter (2002) and Munk and Sorensen (2007) for the restricted setting in which risk aversions are equal." @default.
- W3124450198 created "2021-02-01" @default.
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- W3124450198 date "2010-04-14" @default.
- W3124450198 modified "2023-09-27" @default.
- W3124450198 title "Dynamic strategies when consumption and wealth risk aversions differ" @default.
- W3124450198 hasPublicationYear "2010" @default.
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