Comparative Risk Aversion: A Formal Approach with Applications to Savings Behaviors

Bommier, Antoine, Chassagnon, Arnold and Le Grand, François (2010) Comparative Risk Aversion: A Formal Approach with Applications to Savings Behaviors. TSE Working Paper, n. 10-141, Toulouse

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Official URL: http://tse-fr.eu/pub/22294

Abstract

We consider a formal approach to comparative risk aversion and applies it to intertemporal choice models. This allows us to ask whether standard classes of utility functions, such as those inspired by Kihlstrom and Mirman (1974), Selden (1978), Epstein and Zin (1989) and Quiggin (1982) are well-ordered in terms of risk aversion. Moreover, opting for this model-free approach allows us to establish new general results on the impact of risk aversion on savings behaviors. In particular, we show that risk aversion enhances precautionary savings, clarifying the link that exists between the notions of prudence and risk aversion.

Item Type: Monograph (Working Paper)
Language: English
Date: 28 January 2010
Place of Publication: Toulouse
Uncontrolled Keywords: risk aversion, savings behaviors, precautionary savings
JEL codes: D11 - Consumer Economics - Theory
D81 - Criteria for Decision-Making under Risk and Uncertainty
D91 - Intertemporal Consumer Choice; Life Cycle Models and Saving
Subjects: B- ECONOMIE ET FINANCE
Divisions: TSE-R (Toulouse)
Institution: Université Toulouse 1 Capitole
Site: UT1
Date Deposited: 09 Jul 2014 17:09
Last Modified: 20 Mar 2018 13:35
OAI ID: oai:tse-fr.eu:22294
URI: http://publications.ut-capitole.fr/id/eprint/15023

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