Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion

Antoine Bommier

Research Unit Working Papers from Laboratoire d'Economie Appliquee, INRA

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: Intertemporal choice; Risk Aversion; Intertemporal Elasticity of Substitution. (search for similar items in EconPapers)
JEL-codes: D80 D90 (search for similar items in EconPapers)
Pages: 12 pages
Date: 2003-05
References: Add references at CitEc
Citations:

Downloads: (external link)
http://www.inra.fr/Internet/Departements/ESR/UR/lea/documents/wp/wp0307.pdf (application/pdf)

Related works:
Journal Article: Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion (2007)
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:lea:leawpi:0307

Access Statistics for this paper

More papers in Research Unit Working Papers from Laboratoire d'Economie Appliquee, INRA INRA-LEA, 48, Boulevard Jourdan, 75014 Paris, France.
Bibliographic data for series maintained by Madeleine Roux ( this e-mail address is bad, please contact ).