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 InfoPaper provided by Laboratoire d'Economie Appliquee, INRA in its series Research Unit Working Papers with number 0307.
Length: 12 pages
Date of creation: May 2003
Date of revision:
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Intertemporal choice; Risk Aversion; Intertemporal Elasticity of Substitution.;
Other versions of this item:
- Antoine Bommier, 2007. "Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion," Economics Bulletin, AccessEcon, vol. 4(29), pages 1-8.
- D90 - Microeconomics - - Intertemporal Choice and Growth - - - General
- D80 - Microeconomics - - Information, Knowledge, and Uncertainty - - - General
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.:
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