Precautionary saving and the notion of ambiguity prudence

DOI10.1016/J.ECONLET.2014.02.019MaRDI QIDQ2452993zbMATH OpenOpenAlexFDO

Authors Loïc Berger

Publication date 6 June 2014

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://dipot.ulb.ac.be/dspace/bitstream/2013/151853/1/2013-42-BERGER-precautionary.pdf

zbMATH Keywords

ambiguity aversionnon-expected utilityprudencesavingtwo-period modeluncertainty

Mathematics Subject Classification ID

Decision theory (91B06) Utility theory (91B16)

Review text

A simple two-period model is considered which is not only risky but also ambiguous. The probabilities of the second-period final wealth consist of a set of probabilities, depending on a parameter \(\theta\) for which the agent has prior beliefs. The concept of ambiguity prudence is introduced. The conditions for ambiguity prudence are considered, basically those related to ambiguity aversion.

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Cites work

• A New Representation of Preferences over "Certain x Uncertain" Consumption Pairs: The "Ordinal Certainty Equivalent" Hypothesis
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• Choosing Between Risky Prospects: The Characterization of Comparative Statics Results, and Location Independent Risk
• scientific article; zbMATH DE number 3087284 (Why is no real title available?)
• Recursive smooth ambiguity preferences
• Risk, ambiguity and the Savage axioms
• Temporal Resolution of Uncertainty and Dynamic Choice Theory
• The economics of risk and time

Cited in

(13)

• Precautionary saving and fuzzy information
• Precautionary saving: a taxonomy of prudence
• Proper prudence, standard prudence and precautionary vulnerability
• Optimal attention and heterogeneous precautionary saving behavior
• Revisiting precautionary saving under ambiguity
• Testing constant absolute and relative ambiguity aversion
• Precautionary saving in the large: \(n\)th degree deteriorations in future income
• On the precautionary motive for savings and prudence in the rank-dependent utility framework
• The impact of ambiguity and prudence on prevention decisions
• Risk aversion, prudence and mixed optimal saving models
• A life-cycle model with ambiguous survival beliefs
• Cautiousness when experts disagree
• Mean-preserving capacities: a tractable class of Choquet capacities

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