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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Year of publication:	2003-05
Authors:	Bommier, Antoine
Institutions:	Laboratoire d'Economie Appliquee, INRA
Subject:	Intertemporal choice \| Risk Aversion \| Intertemporal Elasticity of Substitution

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Extent:	application/pdf
Series:	Research Unit Working Papers.
Type of publication:	Book / Working Paper
Notes:	12 pages
Classification:	D90 - Intertemporal Choice and Growth. General ; D80 - Information and Uncertainty. General
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005069759