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.
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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.
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- 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.
- Normandin, M. & St-Amour, P., 1996. "Substitution, Risk Aversion, Taste Shocks and Equity Premia," Papers 9606, Laval - Recherche en Politique Economique.
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"Temporal Resolution of Uncertainty and Dynamic Choice Theory,"
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- 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.
- Svensson, Lars E. O., 1989.
"Portfolio choice with non-expected utility in continuous time,"
Elsevier, vol. 30(4), pages 313-317, October.
- Svensson, L.E.O., 1988. "Portfolio Choice With Non-Expected Utility In Continuous Time," Papers 423, Stockholm - International Economic Studies.
- Weil, Philippe, 1990. "Nonexpected Utility in Macroeconomics," The Quarterly Journal of Economics, MIT Press, vol. 105(1), pages 29-42, February.
- 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.
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