A benchmark value for relative prudence
Working paper
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http://hdl.handle.net/11250/163084Utgivelsesdato
2007-10Metadata
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Sammendrag
In this paper we propose benchmark values for the coefficients
of relative risk aversion and relative prudence on the basis of a binary choice
model where the decision maker chooses between aggregating or disaggragating
multiplicative risks. We relate our results to the decison maker’s willingness to
trade-off the second with the first and the third (central) moment of his wealth distribution.
Utgiver
Norwegian School of Economics and Business Administration. Department of EconomicsSerie
Discussion paper2007:26