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2010•RePEc: Research Papers in EconomicsOpen access

Intertemporal risk aversion – or – wouldn’t it be nice to tell whether Robinson Crusoe is risk averse?

Christian P. Traeger, Traeger, Christian P.

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Abstract

The paper introduces a new notion of risk aversion that is independent of the good under observation and its measure scale. The representational framework builds on a time consistent combination of additive separability on certain consumption paths and the von Neumann & Morgenstern (1944) assumptions. In the one-commodity special case, the new notion of risk aversion closely relates to a disentanglement of standard risk aversion and intertemporal substitutability.

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What this paper is about

The paper introduces a new notion of risk aversion that is independent of the good under observation and its measure scale. The representational framework builds on a time consistent combination of additive separability on certain consumption paths and the von Neumann & Morgenstern (1944) assumptions. In the one-commodity special case, the new notion of risk aversion closely relates to a disentanglement of standard risk aversion and intertemporal substitutability.

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Available abstract

The paper introduces a new notion of risk aversion that is independent of the good under observation and its measure scale. The representational framework builds on a time consistent combination of additive separability on certain consumption paths and the von Neumann & Morgenstern (1944) assumptions. In the one-commodity special case, the new notion of risk aversion closely relates to a disentanglement of standard risk aversion and intertemporal substitutability.

Key concepts: Risk aversion (psychology), Economics, Consumption (sociology), Measure (data warehouse), Scale (ratio), Econometrics, Mathematical economics, Microeconomics

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Intertemporal risk aversion – or – wouldn’t it be nice to tell whether Robinson Crusoe is risk averse? — Research Paper | ScholarLens