Comparative risk aversion: a formal approach with applications to saving behavior
The authors consider a formal approach to comparative risk aversion and apply it in three main directions.NEWLINENEWLINEFirst, they discuss the extent to which standard classes of utility functions are well ordered in terms of risk aversion.NEWLINENEWLINESecond, they discuss the role of risk aversion without focusing on any specific model of rationality.NEWLINENEWLINE Third, they apply the setup to establish new general results on the role of risk aversion. In particular, they show that risk aversion enhances precautionary savings, clarifying the link between risk aversion and prudence.
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