EconPapers    
Economics at your fingertips  
 

On the precautionary motive for savings and prudence in the rank-dependent utility framework

Alain Chateauneuf (), Ghizlane Lakhnati and Eric Langlais ()
Additional contact information
Ghizlane Lakhnati: National School of Applied Sciences - Université Ibn Zohr [Agadir]

PSE - Labex "OSE-Ouvrir la Science Economique" from HAL

Abstract: In this paper, we deal with the basic two-period consumption–saving problem where the first- and second-period consumption utilities, v and u, are assumed to be concave, respectively, as usually. We prove that for the rank-dependent utility model, prudence is fully characterized by the convexity of u′ and strong pessimism. The paper ends by showing that for a strong risk-averse RDU decision-maker, strict pessimism allows local weak prudence, whatever the sign of u′′′, whereas for a strong risk-averse EU decision-maker local weak prudence cannot be disentangled from prudence.

Keywords: Prudence; Local weak prudence; RDU model; Strong risk aversion; Pessimism (search for similar items in EconPapers)
Date: 2016-01
Note: View the original document on HAL open archive server: https://hal.archives-ouvertes.fr/hal-01302563
References: Add references at CitEc
Citations: Track citations by RSS feed

Published in Economic Theory, Springer Verlag, 2016, 61 (1), pp.169-182. ⟨10.1007/s00199-015-0883-x⟩

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

Related works:
Journal Article: On the precautionary motive for savings and prudence in the rank-dependent utility framework (2016) Downloads
Working Paper: On the precautionary motive for savings and prudence in the rank-dependent utility framework (2016)
Working Paper: On the precautionary motive for savings and prudence in the rank dependent utility framework (2014) Downloads
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:pseose:hal-01302563

DOI: 10.1007/s00199-015-0883-x

Access Statistics for this paper

More papers in PSE - Labex "OSE-Ouvrir la Science Economique" from HAL
Bibliographic data for series maintained by CCSD ().

 
Page updated 2020-01-15
Handle: RePEc:hal:pseose:hal-01302563