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A benchmark value for relative prudence

Schroyen, Fred; Etner, Johanna; Eeckhoudt, Louis
Working paper
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URI
http://hdl.handle.net/11250/163084
Date
2007-10
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  • Discussion papers (SAM) [640]
Abstract
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.
Publisher
Norwegian School of Economics and Business Administration. Department of Economics
Series
Discussion paper
2007:26

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