Benchmark values for higher order coefficients of relative risk aversion
Benchmark values for higher order coefficients of relative risk aversion
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DOI：
10.1007/s11238-013-9353-8
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发表时间：
2014
影响因子：
0.8
通讯作者：
M. Denuit;B. Rey
中科院分区：
文献类型：
--
作者：
M. Denuit;B. Rey
关于风险下的储蓄、保险和投资组合选择的现有文献表明，比较静态结果通常取决于相对风险厌恶和相对谨慎的系数值。更具体地，这些系数的基准值分别是一和二。最近，几篇论文研究了相对风险厌恶和相对谨慎系数的更高程度扩展的限制。目前的工作基于基本相关性增加变换的概念，为这个问题提供了一种统一的方法，可以更好地理解乘法情况下风险的变化。
The existing literature on savings, insurance, and portfolio choices under risk has revealed that quite often comparative statics results depend, among other things, upon the values of the coefficients of relative risk aversion and relative prudence. More specifically the benchmark values for these coefficients are, respectively, one and two. Recently, several papers investigated constraints on the higher degree extensions of the coefficients of relative risk aversion and of relative prudence. The present work provides a unified approach to this question based on the concept of elementary correlation increasing transformations, allowing for a better understanding of changes in risk in the multiplicative case.