Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion

Antoine Bommier

Economics Bulletin, 2007, vol. 4, issue 29, 1-8

Abstract: Intertemporal correlation aversion is an intuitive concept indicating whether an individual prefers lotteries concerning consumption at different moments in time to be positively or negatively correlated. I show that the difference between the coefficient of relative risk aversion and the inverse of the intertemporal elasticity of substitution is related, in a simple way, to the index of intertemporal correlation aversion.

Keywords: Correlation; Aversion. (search for similar items in EconPapers)
JEL-codes: D8 D9 (search for similar items in EconPapers)
Date: 2007-08-13
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Citations: View citations in EconPapers (36)

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Working Paper: Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion (2003)
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