Revisiting Precautionary Saving Under Ambiguity

I study the consumption-saving problem with non-separable utility under ambiguity. Using smooth ambiguity aversion, I show that the introduction of ambiguity and greater ambiguity aversion raise optimal saving. When relative prudence in ambiguity preferences is bounded by 2, also greater ambiguity increases saving. While previous work finds that a convex marginal ambiguity function is not sufficient for precautionary saving (Berger, 2014), I show that it may not even be necessary

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Year of publication:	2018
Authors:	Peter, Richard
Publisher:	[2018]: [S.l.] : SSRN
Subject:	Sparen \| Savings \| Theorie \| Theory \| Risiko \| Risk \| Vorsichtssparen \| Precautionary saving \| Risikoaversion \| Risk aversion \| Entscheidung unter Unsicherheit \| Decision under uncertainty

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