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.
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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
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uncertainty; expected utility; recursive utility; risk aversion; intertemporal substitutability; certainty additivity; temporal lotteries; gauge-freedom; intertemporal risk aversion; Social and Behavioral Sciences;
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