Time diversification, liquidity constraints, and decreasing aversion to risk on wealth

• 成果类型: Article
• 署名作者: Gollier, C
• 署名单位: Universite de Toulouse; Universite de Toulouse
• 刊物名称: JOURNAL OF MONETARY ECONOMICS
• ISSN/ISSBN: 0304-3932
• DOI: 10.1016/S0304-3932(02)00173-3
• 发表日期: 2002
• 页码: 1439-1459
• 关键词: time diversification; decreasing risk aversion; liquidity constraints

摘要

The aim of this paper is to provide a theoretical foundation to the notions of time diversification and decreasing absolute aversion to risk on wealth. We examine the attitude towards risk on initial wealth when the agent allocate this wealth to consumption over his lifetime. Time diversification occurs in that case because the agent will optimally split the risk on wealth into small, seemingly independent, risks on consumption. The introduction of liquidity constraints reduces the implicit time horizon of the consumer and thereby increases his risk aversion. The negative relationship between initial wealth and the implicit time horizon where the consumer will be liquidity constrained provides an argument for decreasing aversion to risk on wealth. (C) 2002 Elsevier Science B.V. All rights reserved.