Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion

IF 0.6 Q3 Economics, Econometrics and Finance

Economics Bulletin Pub Date : 2005-01-01 DOI:10.3929/ETHZ-A-010574890

A. Bommier

引用次数: 66

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.

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风险厌恶、跨期替代弹性与相关厌恶

跨期相关厌恶是一个直观的概念，表明个体更倾向于在不同时间点消费的彩票是正相关还是负相关。我表明，相对风险厌恶系数和跨期替代弹性逆之间的差异，以一种简单的方式，与跨期相关厌恶指数有关。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Economics Bulletin ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

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