On the (Mis)Use of Wealth as a Proxy for Risk Aversion
指出，在契约文献中常用财富作为风险厌恶的代理变量来检验风险分担，但该检验仅在委托人风险中性或CARA偏好且代理人风险中性的假设下才有效。
Abstract Tests of risk sharing in the contracting literature often rely on wealth as a proxy for risk aversion. The intuition behind these tests is that since contract choice is monotonic in the coefficients of risk aversion, which are themselves assumed monotonic in wealth, the effect of a change in wealth on contract choice is clearly identified. We show that tests of risk sharing relying on wealth as a proxy for risk aversion are identified only insofar as the econometrician is willing to assume that (a) the principal is risk neutral or her preferences exhibit constant absolute risk aversion (CARA); and (b) the agent is risk neutral.