Correlation between Risk Aversion and Wealth distribution

Different models of capital exchange among economic agents have been recently proposed trying to explain the emergence of Pareto's wealth power-law distribution. One important factor to be considered is the existence of risk aversion. In this paper, we study a model where agents possess different levels of risk aversion, going from a uniform to a random distribution. In all cases the risk aversion level for a given agent is constant during the simulation. While for uniform and constant risk aversion the system self-organizes in a distribution that goes from an unfair “one takes all” distribution to a Gaussian one, a random risk aversion can produce distributions going from exponential to log-normal and power-law. Besides, interesting correlations between wealth and risk aversion are found.