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Apollo
Research . 2006
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Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules

Authors: Hara, C.; Christoph Kuzmics;

Representative Consumer's Risk Aversion and Efficient Risk-Sharing Rules

Abstract

We study the representative consumer's risk attitude and efficient risk-sharing rules in a single-period, single-good economy in which consumers have homogeneous probabilistic beliefs but heterogeneous risk attitudes. We prove that if all consumers have convex absolute risk tolerance, so must the representative consumer. We also identify a relationship between the curvature of an individual consumer's individual risk sharing rule and his absolute cautiousness, the first derivative of absolute risk-tolerance. Some consequences of these results and refinements of these results for the class of HARA utility functions are discussed.

Country
United Kingdom
Related Organizations
Keywords

Aggregation, heterogeneous consumers, absolute risk tolerance, aggregation, heterogeneous consumers, absolute risk tolerance, mutual fund theorm, Classification-JEL: D51, D58, D81, G11, G12, G13, mutual fund theorm, jel: jel:D81, jel: jel:D51, jel: jel:G12, jel: jel:G13, jel: jel:D58, jel: jel:G11

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selected citations
These citations are derived from selected sources.
This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Citations provided by BIP!
popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
BIP!Impulse provided by BIP!
0
Average
Average
Average
Green