  We derive a closed-form expression capturing the degree of Relative Risk
Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula
is superior to earlier methods that have been proposed, as it is a function of
only three variables. Namely, the Treasury yields, the returns and the market
capitalization of a specific market index. Our formula, is tested on CAC 40,
EURO, S&P 500 and STOXX 600, with respect to the market capitalization of each
index, for different time periods. We deduce that the investors in these
markets exhibit Decreasing Absolute Risk Aversion (DARA) through all the
different time periods that we consider, while the degree of RRA has altered
between being constant, decreasing or increasing. Furthermore, we propose a
simple and intuitive way to measure the degree to which a wrong assumption with
respect to the utility function of an investor will affect the structure of his
portfolio. Our method is built on a two asset portfolio framework. Namely, a
portfolio consisting of one risky and one risk-free asset. Applying our method,
the empirical findings indicate that the weight invested in the risky asset
varies substantially even among utility functions with similar characteristics.
