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The values of relative risk aversion and prudence : a context-free interpretation

Eeckhoudt, Louis; Etner, Johanna; Schroyen, Fred
Working paper
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URI
http://hdl.handle.net/11250/166638
Date
2009-02
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  • Working papers (SNF) [809]
Abstract
In this paper we apply to multiplicative lotteries the idea of preference for “harm disaggregation” that was used for additive lotteries in order to interpret the signs of successive derivatives of a utility function. In this way, we can explain in general terms why the values of the coefficients of relative risk aversion and relative prudence are usually compared respectively to 1 and 2. We also show how these values partition the sets of risk averse and/or prudent decision makers into two subgroups.
Publisher
SNF
Series
Working paper
2008:38

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