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Antoine Bommier
''Risk Aversion, Intertemporal Elasticity of Substitution and Correlation Aversion''
( 2007, Vol. 4 No.29 )
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 intertemporal correlation aversion.
Keywords: Correlation Aversion.
JEL: D9 - Intertemporal Choice and Growth: General
D8 - Information, Knowledge, and Uncertainty: General
Manuscript Received : Dec 14 2006 Manuscript Accepted : Aug 13 2007

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