Intertemporal risk aversion – or – wouldn’t it be nice to tell whether Robinson Crusoe is risk averse?

Christian P. Traeger

No 1102, CUDARE Working Paper Series from University of California at Berkeley, Department of Agricultural and Resource Economics and Policy

Abstract: 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.

Keywords: uncertainty; expected utility; recursive utility; risk aversion; intertemporal substitutability; certainty additivity; temporal lotteries; gauge-freedom; intertemporal risk aversion (search for similar items in EconPapers)
Date: 2010-05
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