A benchmark value for relative prudence

In this paper we propose benchmark values for the coefficients of relative risk aversionand relative prudence on the basis of a binary choice model where the decision makerchooses between aggregating or disaggregating multiplicative risks. We relate ourresults to the decision maker's willingness to trade-off the second with the first and thethird (central) moment of his wealth distribution....

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Year of publication:	2007-10-01
Authors:	Eeckhoudt, Louis ; Etner, Johanna ; Schroyen, Fred
Institutions:	Center for Operations Research and Econometrics <Louvain-la-Neuve>
Subject:	Benchmarking \| Entscheidungstheorie \| decision theory \| Risikoaversion \| Entscheidung bei Unsicherheit

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Extent:	203776 bytes 9 p. application/pdf
Series:	Center for Operations Research and Econometrics - Discussion Papers CORE Discussion Paper ; No. 86 (2007)
Type of publication:	Book / Working Paper
Language:	English
Classification:	D81 - Criteria for Decision-Making under Risk and Uncertainty ; Forecast, decision making ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

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