Anxiety in the face of risk

• 成果类型: Article
• 署名作者: Eisenbach, Thomas M.; Schmalz, Martin C.
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - New York; University of Michigan System; University of Michigan
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2015.10.002
• 发表日期: 2016
• 页码: 414-426
• 关键词: risk premia; insurance; term structure; dynamic inconsistency

摘要

We model an anxious agent as one who is more risk averse with respect to imminent risks than with respect to distant risks. Based on a utility function that captures individual subjects' behavior in experiments, we provide a tractable theory relaxing the restriction of constant risk aversion across horizons and show that it generates rich implications. We first apply the model to insurance markets and explain the high premia for short-horizon insurance. Then, we show that costly delegated portfolio management, investment advice, and withdrawal fees emerge as endogenous features and strategies to cope with dynamic inconsistency in intratemporal risk-return trade-offs. (C) 2016 Elsevier B.V. All rights reserved.