Risk Aversion and Precautionary Savings in Dynamic Settings

被引：20
|
作者：
Bommier, Antoine [1 ]
Le Grand, Francois [2 ,3 ]
机构：
[1] Swiss Fed Inst Technol, Dept Management Technol & Econ, CH-8092 Zurich, Switzerland
[2] Emlyon Business Sch, F-69130 Ecully, France
[3] Swiss Fed Inst Technol, CH-8092 Zurich, Switzerland
来源：
MANAGEMENT SCIENCE | 2019年 / 65卷 / 03期
关键词：
risk aversion; precautionary savings; recursive models; risk-sensitive preferences; monotonicity; OPTIMAL CONSUMPTION; UNCERTAINTY; INCOME; UTILITY; TIME; DEMAND; MODEL; CASH;
D O I：
10.1287/mnsc.2017.2959
中图分类号：
C93 [管理学];
学科分类号：
12 ; 1201 ; 1202 ; 120202 ;
摘要：
We study the saving behavior of infinitely long-lived agents who face income uncertainty and deterministic interest rates. Using monotone recursive preferences, we prove that risk aversion unambiguously increases savings. The result accounts for possibly binding borrowing constraints and holds for very general specification of income uncertainty, which can follow any kind of stochastically monotone process.
引用
收藏
页码：1386 / 1397
页数：12
相关论文
共 50 条
12345