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A benchmark value for relative prudence

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Author Info
EECKHOUDT, Louis
ETNER, Johanna
SCHROYEN, Fred

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Abstract

In this paper we propose benchmark values for the coefficients of relative risk aversion and relative prudence on the basis of a binary choice model where the decision maker chooses between aggregating or disaggragating multiplicative risks. We relate our results to the decison maker's willingness to trade-off the second with the first and the third (central) moment of his wealthdistribution.

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File URL: http://www.uclouvain.be/cps/ucl/doc/core/documents/coredp2007_86.pdf
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Publisher Info
Paper provided by Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) in its series CORE Discussion Papers with number 2007086.

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Date of creation: 01 Oct 2007
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Handle: RePEc:cor:louvco:2007086

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Related research
Keywords: relative risk aversion; relative prudence;

Find related papers by JEL classification:
D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

Cited by:
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  1. D'ALBIS Hippolyte & THIBAULT Emmanuel, 2009. "Annuities, Bequests and Portfolio Diversification," Working Papers 09.14.290, LERNA, University of Toulouse. [Downloadable!]
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This page was last updated on 2009-12-16.

This information is provided to you by IDEAS at the Department of Economics, College of Liberal Arts and Sciences, University of Connecticut using RePEc data on a server sponsored by the Society for Economic Dynamics.