MULTIATTRIBUTE UTILITY THEORY, INTERTEMPORAL UTILITY, AND CORRELATION AVERSION

Multiattribute Utility Theory, Intertemporal Utility and Correlation Aversion

Convenient assumptions about qualitative properties of the intertemporal utility function have generated counter-intuitive implications for the relationship between atemporal risk aversion and the intertemporal elasticity of substitution. If the intertemporal utility function is additively separable then the latter two concepts are the inverse of each other. We review a simple theoretical speci...

Multiattribute Utility Theory Without Expected Utility Foundations

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Multiattribute One-Switch Utility

Multiattribute Utility Copulas

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Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion

Intertemporal correlation aversion is an intuitive concept indicating whether an individual prefers lotteries concerning consumption at different moments in time to be positively or negatively correlated. I show that the difference between the coefficient of relative risk aversion and the inverse of the intertemporal elasticity of substitution is related, in a simple way, to the index of intert...