Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion
AbstractIntertemporal correlation aversion is an intuitive concept indicating whether an individual prefers lotteries concerning consumption at different moments in time to be positively or negatively correlated. I show that the difference between the coefficient of relative risk aversion and the inverse of the intertemporal elasticity of substitution is related, in a simple way, to the index of intertemporal correlation aversion.
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Bibliographic InfoArticle provided by AccessEcon in its journal Economics Bulletin.
Volume (Year): 4 (2007)
Issue (Month): 29 ()
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Other versions of this item:
- Antoine Bommier, 2003. "Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion," Research Unit Working Papers, Laboratoire d'Economie Appliquee, INRA 0307, Laboratoire d'Economie Appliquee, INRA.
- D9 - Microeconomics - - Intertemporal Choice
- D8 - Microeconomics - - Information, Knowledge, and Uncertainty
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CORE Discussion Papers, UniversitÃ© catholique de Louvain, Center for Operations Research and Econometrics (CORE)
2012005, UniversitÃ© catholique de Louvain, Center for Operations Research and Econometrics (CORE).
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