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Interemporal Risk Aversion - or - Wouldn't it be Nice to Tell Whether Robinson Crusoe is Risk

  • Traeger, Christian P.

The 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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Paper 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.

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Date of creation: 08 Dec 2011
Date of revision:
Handle: RePEc:cdl:agrebk:qt67d581xt
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  1. Svensson, L.E.O., 1988. "Portfolio Choice With Non-Expected Utility In Continuous Time," Papers 423, Stockholm - International Economic Studies.
  2. Maurice Obstfeld, 1995. "Evaluating Risky Consumption Paths: The Role of Intertemporal Substitutability," NBER Technical Working Papers 0120, National Bureau of Economic Research, Inc.
  3. 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.
  4. 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.
  5. Kreps, David M & Porteus, Evan L, 1978. "Temporal Resolution of Uncertainty and Dynamic Choice Theory," Econometrica, Econometric Society, vol. 46(1), pages 185-200, January.
  6. repec:tpr:qjecon:v:105:y:1990:i:1:p:29-42 is not listed on IDEAS
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