A benchmark value for relative prudence

Louis Eeckhoudt, Johanna Etner and Fred Schroyen

No 2007086, LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE)

Abstract: In this paper we propose benchmark values for the coefficients of relative risk aversion and relative prudence on the basis of a binary choice model where the decision maker chooses between aggregating or disaggragating multiplicative risks. We relate our results to the decison maker's willingness to trade-off the second with the first and the third (central) moment of his wealthdistribution.

Keywords: relative risk aversion; relative prudence (search for similar items in EconPapers)
JEL-codes: D81 (search for similar items in EconPapers)
Date: 2007-10-01
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Downloads: (external link)
https://sites.uclouvain.be/core/publications/coredp/coredp2007.html (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cor:louvco:2007086

Access Statistics for this paper

More papers in LIDAM Discussion Papers CORE from Université catholique de Louvain, Center for Operations Research and Econometrics (CORE) Voie du Roman Pays 34, 1348 Louvain-la-Neuve (Belgium). Contact information at EDIRC.
Bibliographic data for series maintained by Alain GILLIS ().