Interemporal Risk Aversion - or - Wouldn't it be Nice to Tell Whether Robinson Crusoe is Risk
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.
|Date of creation:||08 Dec 2011|
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- Normandin, Michel & St-Amour, Pascal, 1996.
"Substitution, Risk Aversion, Taste Shocks and Equity Premia,"
Cahiers de recherche
9606, Université Laval - Département d'économique.
- 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.
- Normandin, M. & St-Amour, P., 1996. "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Papers 9606, Laval - Recherche en Politique Economique.
- 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, 1996. "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Finance 9607001, EconWPA.
- Obstfeld, Maurice, 1994.
"Evaluating risky consumption paths: The role of intertemporal substitutability,"
European Economic Review,
Elsevier, vol. 38(7), pages 1471-1486, August.
- Maurice Obstfeld, 1995. "Evaluating Risky Consumption Paths: The Role of Intertemporal Substitutability," NBER Technical Working Papers 0120, National Bureau of Economic Research, Inc.
- David M Kreps & Evan L Porteus, 1978.
"Temporal Resolution of Uncertainty and Dynamic Choice Theory,"
Levine's Working Paper Archive
625018000000000009, David K. Levine.
- 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.
- 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.
- Traeger, Christian P., 2009.
"Subjective risk, confidence, and ambiguity,"
CUDARE Working Paper Series
1103R2, University of California at Berkeley, Department of Agricultural and Resource Economics and Policy, revised May 2011.
- 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.
- Philippe Weil, 1990. "Nonexpected Utility in Macroeconomics," The Quarterly Journal of Economics, Oxford University Press, vol. 105(1), pages 29-42.
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