Author: Frederick van der PloegPublisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 40
Book Description
Risk Aversion, Intertemporal Substitution and Consumption
Author: Frederick van der PloegPublisher:
ISBN:
Category : Consumption (Economics)
Languages : en
Pages : 40
Book Description
The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-portfolio Choicewith Recursive Utility
Author: Harjoat S. BhamraPublisher:
ISBN:
Category :
Languages : en
Pages : 29
Book Description
The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-portfolio Choice with Recursive Utility
Author: Harjoat Singh BhamraPublisher:
ISBN:
Category : Investment analysis
Languages : en
Pages : 29
Book Description
The Role of Risk Aversion and Intertemporal Substitution in Dynamic Consumption-portfolio Choicewith Recursive Utility
Author: Harjoat S. BhamraPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Intertemporal Substitution, Risk Aversion, and Private Savings in Mexico
Author: Patricio ArrauPublisher: World Bank Publications
ISBN:
Category :
Languages : en
Pages : 33
Book Description
Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model
Author: Philippe WeilPublisher:
ISBN:
Category :
Languages : en
Pages : 34
Book Description
When tastes are represented by a class of generalized preferences which -- unlike traditional Von-Neumann preferences -- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and intertemporal substitution affect consumption and portfolio allocation decisions in symmetrical ways. A unit elasticity of intertemporal substitution gives rise to myopia in consumption-savings decisions (the future does not affect the optimal consumption plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not affect optimal portfolio allocation). The empirical evidence is consistent with the behavior of intertemporal maximizers who have a unit coefficient of relative risk aversion and an elasticity of intertemporal substitution different from 1.
Substitution and Risk Aversion in Saving
Author: Susheng WangPublisher:
ISBN:
Category :
Languages : en
Pages : 48
Book Description
Risk Aversion and Intertemporal Substitution in the Capital Asset Pricing Model
Author: Alberto GiovanniniPublisher:
ISBN:
Category : Capital assets pricing model
Languages : en
Pages : 32
Book Description
When tastes are represented by a class of generalized preferences which -- unlike traditional Von-Neumann preferences -- do not confuse behavior towards risk with attitudes towards intertemporal substitution, the true beta of an asset is, in general, an average of its consumption and market betas. We show that the two parameters measuring risk aversion and intertemporal substitution affect consumption and portfolio allocation decisions in symmetrical ways. A unit elasticity of intertemporal substitution gives rise to myopia in consumption-savings decisions (the future does not affect the optimal consumption plan), while a unit coefficient of relative risk aversion gives rise to myopia in portfolio allocation (the future does not affect optimal portfolio allocation). The empirical evidence is consistent with the behavior of intertemporal maximizers who have a unit coefficient of relative risk aversion and an elasticity of intertemporal substitution different from 1
Intertemporal Substitution, Risk Aversion and the Euler Equation for Consumption
Author: Orazio P. AttanasioPublisher:
ISBN:
Category :
Languages : en
Pages : 0
Book Description
Risk Aversion and Intertemporal Substitution in Aggregate Consumption: Finland 1975 - 2001
Author: Jari ViitanenPublisher:
ISBN: 9789524581608
Category :
Languages : en
Pages : 33
Book Description
