Comparative Risk Aversion: A Formal Approach with Applications to Saving Behaviors

Antoine Bommier, Arnold Chassagnon () and François Le Grand ()
Additional contact information
Arnold Chassagnon: Paris School of Economics and Paris-Dauphine University
François Le Grand: EMLyon Business School

No 10/134, CER-ETH Economics working paper series from CER-ETH - Center of Economic Research (CER-ETH) at ETH Zurich

Abstract: We consider a formal approach to comparative risk aversion and applies it to intertemporal choice models. This allows us to ask whether standard classes of utility functions, such as those inspired by Kihlstrom and Mirman [15], Selden [26], Epstein and Zin [9] and Quiggin [24] are well-ordered in terms of risk aversion. Moreover, opting for this model-free approach allows us to establish new general results on the impact of risk aversion on savings behaviors. In particular, we show that risk aversion enhances precautionary savings, clarifying the link that exists between the notions of prudence and risk aversion.

Keywords: Risk aversion; Savings behaviors; Precautionary savings (search for similar items in EconPapers)
JEL-codes: D11 D81 D91 (search for similar items in EconPapers)
Pages: 38 pages
Date: 2010-09
New Economics Papers: this item is included in nep-mic and nep-upt
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Citations: View citations in EconPapers (6)

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Related works:
Journal Article: Comparative risk aversion: A formal approach with applications to saving behavior (2012)
Working Paper: Comparative Risk Aversion: A Formal Approach with Applications to Savings Behaviors (2010)
Working Paper: Comparative Risk Aversion: A Formal Approach with Applications to Savings Behaviors (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:eth:wpswif:10-134

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