风险厌恶、跨期替代弹性与相关厌恶

IF 0.6 Q3 Economics, Econometrics and Finance Economics Bulletin Pub Date : 2005-01-01 DOI:10.3929/ETHZ-A-010574890

A. Bommier

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引用次数: 66

摘要

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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Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion

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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来源期刊

Economics Bulletin ECONOMICS-

CiteScore

1.60

自引率

0.00%

发文量

期刊介绍： The Economic Bulletin is an open-access letters journal founded in 2001 with the mission of providing free and extremely rapid scientific communication across the entire community of research economists. EB publishes original notes, comments, and preliminary results. We are especially interested in publishingmanuscripts that keep the profession informed about on-going research programs. Our publication standard is that a manuscript be original, correct and of interest to a specialist. Submissions in these categories are refereed and our objective is to make a decision within two months. Accepted papers are published immediately. It is expected that in many cases, manuscripts published in these categories will form the foundation for more complete works to besubsequently submitted to other journals. In all cases, submissions are restricted to seven printed pages exclusive of references, tables, figures, and appendices, and must be in PDF format. EB also publishes non-refereed letters to the editor, conference announcements and research announcements.