Evolutionary foundation for heterogeneity in risk aversion

• 成果类型: Article
• 署名作者: Heller, Yuval; Nehama, Ilan
• 署名单位: Bar Ilan University; University of Haifa
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2023.105617
• 发表日期: 2023
• 关键词: Evolution of preferences; risk interdependence; long-run growth rate

摘要

We examine the evolutionary basis for risk aversion with respect to aggregate risk. We study populations in which agents face choices between alternatives with different levels of aggregate risk. We show that the choices that maximize the long-run growth rate are induced by a heterogeneous population in which the least and most risk-averse agents are indifferent between facing an aggregate risk and obtaining its linear and harmonic mean for sure, respectively. Moreover, approximately optimal behavior can be induced by a simple distribution according to which all agents have constant relative risk aversion, and the coefficient of relative risk aversion is uniformly distributed between zero and two. (c) 2023 Elsevier Inc. All rights reserved.