Risk Aversion and Precautionary Savings in Dynamic Settings

Antoine Bommier and François Le Grand
Additional contact information
Antoine Bommier: ETH Zürich - Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology [Zürich]
François Le Grand: ETH Zürich - Eidgenössische Technische Hochschule - Swiss Federal Institute of Technology [Zürich], EM - EMLyon Business School

Post-Print from HAL

Abstract: We study the saving behavior of infinitely long-lived agents who face income uncertainty and deterministic interest rates. Using monotone recursive preferences, we prove that risk aversion unambiguously increases savings. The result accounts for possibly binding borrowing constraints and holds for very general specification of income uncertainty, which can follow any kind of stochastically monotone process.

Keywords: risk aversion; precautionary savings; recursive models; risk-sensitive preferences; monotonicity (search for similar items in EconPapers)
Date: 2019-03-01
References: Add references at CitEc
Citations: View citations in EconPapers (4)

Published in Management Science, 2019, 65 (3), 1386-1397 p. ⟨10.1287/mnsc.2017.2959⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

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:hal:journl:hal-02312171

DOI: 10.1287/mnsc.2017.2959

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().