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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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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 Classification: | 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: | 02 Apr 2021 15:47 |
| OAI Identifier: | oai:tse-fr.eu:22294 |
| URI: | https://publications.ut-capitole.fr/id/eprint/15023 |
