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:	2007
Authors:	Bommier, Antoine
Published in:	Economics Bulletin. - AccessEcon, ISSN 1545-2921. - Vol. 4.2007, 29, p. 1-8
Publisher:	AccessEcon
Subject:	Correlation Aversion

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	D9 - Intertemporal Choice and Growth ; D8 - Information and Uncertainty
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005094854