Interemporal Risk Aversion - or - Wouldn't it be Nice to Tell Whether Robinson Crusoe is Risk
AbstractThe paper introduces a new notion of risk aversion that is independent of the good under observation and its measure scale. The representational framework builds on a time consistent combination of additive separability on certain consumption paths and the von Neumann & Morgenstern (1944) assumptions. In the one-commodity special case, the new notion of risk aversion closely relates to a disentanglement of standard risk aversion and intertemporal substitutability.
Download InfoIf you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.
Bibliographic InfoPaper provided by Department of Agricultural & Resource Economics, UC Berkeley in its series Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series with number qt67d581xt.
Date of creation: 08 Dec 2011
Date of revision:
Contact details of provider:
Postal: 207 Giannini Hall #3310, Berkeley, CA 94720-3310
Phone: (510) 642-3345
Fax: (510) 643-8911
Web page: http://www.escholarship.org/repec/are_ucb/
More information through EDIRC
uncertainty; expected utility; recursive utility; risk aversion; intertemporal substitutability; certainty additivity; temporal lotteries; gauge-freedom; intertemporal risk aversion; Social and Behavioral Sciences;
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
- Michel Normandin & Pascal St-Amour, 1996.
"Substitution, Risk Aversion, Taste Shocks and Equity Premia,"
Cahiers de recherche CREFE / CREFE Working Papers
39, CREFE, Université du Québec à Montréal.
- Michel Normandin & Pascal St-Amour, 1998. "Substitution, risk aversion, taste shocks and equity premia," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 13(3), pages 265-281.
- Michel Normandin & Pascal St-Amour, 1996. "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Finance 9607001, EconWPA.
- Normandin, M. & St-Amour, P., 1996. "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Papers 9606, Laval - Recherche en Politique Economique.
- Normandin, Michel & St-Amour, Pascal, 1996. "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Cahiers de recherche 9606, Université Laval - Département d'économique.
- Maurice Obstfeld, 1995.
"Evaluating Risky Consumption Paths: The Role of Intertemporal Substitutability,"
NBER Technical Working Papers
0120, National Bureau of Economic Research, Inc.
- Obstfeld, Maurice, 1994. "Evaluating risky consumption paths: The role of intertemporal substitutability," European Economic Review, Elsevier, vol. 38(7), pages 1471-1486, August.
- Kreps, David M & Porteus, Evan L, 1978.
"Temporal Resolution of Uncertainty and Dynamic Choice Theory,"
Econometric Society, vol. 46(1), pages 185-200, January.
- David M Kreps & Evan L Porteus, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Levine's Working Paper Archive 625018000000000009, David K. Levine.
- Traeger, Christian P., 2011.
"Subjective Risk, Confidence, and Ambiguity,"
Department of Agricultural & Resource Economics, UC Berkeley, Working Paper Series
qt0gw7t7vn, Department of Agricultural & Resource Economics, UC Berkeley.
- Weil, Philippe, 1990. "Nonexpected Utility in Macroeconomics," The Quarterly Journal of Economics, MIT Press, vol. 105(1), pages 29-42, February.
- Svensson, L.E.O., 1988.
"Portfolio Choice With Non-Expected Utility In Continuous Time,"
423, Stockholm - International Economic Studies.
- Svensson, Lars E. O., 1989. "Portfolio choice with non-expected utility in continuous time," Economics Letters, Elsevier, vol. 30(4), pages 313-317, October.
For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Lisa Schiff).
If references are entirely missing, you can add them using this form.