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ANDRIES Marianne (TSE) “Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty”

January 6, 11:15 am - 12:30 pm

Time: 12:15pm – 13:30 pm
Date: 06th of January 2020
Place: Room 3001

ANDRIES Marianne (TSE) “Horizon-Dependent Risk Aversion and the Timing and Pricing of Uncertainty”

Abstract : Inspired by experimental evidence, we amend the recursive utility model to let risk aversion decrease with the temporal horizon. Our pseudo-recursive preferences remain tractable and retain appealing features of the long-run risk framework, notably its success at explaining asset pricing moments. Calibrating the agents’ preferences to explain the market returns observed in the data no longer implies an extreme preference for early resolutions of uncertainty; and captures key puzzles in finance on the valuation and demand for risk at long maturities

Details

Date:
January 6
Time:
11:15 am - 12:30 pm
Event Categories:
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Organizers

Edouard CHALLE
Julien PRAT