A benchmark value for relative prudence
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- Discussion papers (SAM) 
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.
PublisherNorwegian School of Economics and Business Administration. Department of Economics