Document de travail

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

Antoine Bommier, Arnold Chassagnon et François Le Grand

Résumé

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.

Mots-clés

risk aversion; savings behaviors; precautionary savings;

Codes JEL

  • D11: Consumer Economics: Theory
  • D81: Criteria for Decision-Making under Risk and Uncertainty
  • D91: Intertemporal Household Choice • Life Cycle Models and Saving

Référence

Antoine Bommier, Arnold Chassagnon et François Le Grand, « Comparative Risk Aversion: A Formal Approach with Applications to Savings Behaviors », TSE Working Paper, n° 10-141, 28 janvier 2010.

Voir aussi

Publié dans

TSE Working Paper, n° 10-141, 28 janvier 2010