Comparative Risk Aversion: A Formal Approach with Applications to Savings Behaviors

Antoine Bommier, Arnold Chassagnon and François Le Grand

No 10-141, TSE Working Papers from Toulouse School of Economics (TSE)

Abstract: We consider a formal approach to comparative risk aversion and applies it to intertemporal choice models. This allows us to ask whether standard classes of utility functions, such as those inspired by Kihlstrom and Mirman (1974), Selden (1978), Epstein and Zin (1989) and Quiggin (1982) are well-ordered in terms of risk aversion. Moreover, opting for this model-free approach allows us to establish new general results on the impact of risk aversion on savings behaviors. In particular, we show that risk aversion enhances precautionary savings, clarifying the link that exists between the notions of prudence and risk aversion.

Keywords: risk aversion; savings behaviors; precautionary savings (search for similar items in EconPapers)
JEL-codes: D11 D81 D91 (search for similar items in EconPapers)
Date: 2010-01
New Economics Papers: this item is included in nep-upt
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Citations: View citations in EconPapers (24)

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Related works:
Journal Article: Comparative risk aversion: A formal approach with applications to saving behavior (2012)
Working Paper: Comparative Risk Aversion: A Formal Approach with Applications to Saving Behaviors (2010)
Working Paper: Comparative Risk Aversion: A Formal Approach with Applications to Savings Behaviors (2010)
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Persistent link: https://EconPapers.repec.org/RePEc:tse:wpaper:22294

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