期刊名称：CORE Discussion Papers / Center for Operations Research and Econometrics (UCL), Louvain
出版年度：2007
卷号：1
出版社：Center for Operations Research and Econometrics (UCL), Louvain
摘要：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 disaggregating multiplicative risks. We relate our
results to the decision maker's willingness to trade-off the second with the first and the
third (central) moment of his wealth distribution.
