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

Alain Chateauneuf (), Ghizlane Lakhnati and E.Langlais

No 2014-597, Working Papers from Department of Research, Ipag Business School

Abstract: In this paper we deal with the basic two-period consumption saving problem where the first and second period consumption utility, v and u is assumed to be concave re- spectively 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/// .

Keywords: RDU Model; Strong Risk Aversion; Pessimism; Prudence and LocalWeak Prudence. (search for similar items in EconPapers)
JEL-codes: D80 D81 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mic and nep-upt
Date: 2014-01-01
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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 (2016)
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