A measure of the sensitivity of saving to interest rate uncertainty with non-expected preferences

Comparative risk aversion: A formal approach with applications to saving behavior

“…The preceding proposition could then be expressed by referring to the value of the intertemporal elasticity of substitution, although this would be slightly less general (as differentiability would then be required). Our results however contradict those in Langlais [20], who considers Selden utility functions. The explanation is that these latter utility functions are not well ordered in terms of risk aversion.…”

“…Kihlstrom and Mirman [16] prove that risk aversion increases or decreases optimal savings when the return on saving is uncertain, according to whether the intertemporal elasticity of substitution is smaller or greater than one. This finding is contradicted by Langlais [20], who shows that no such result holds in the Selden framework.…”

“…This question was addressed by Kihlstrom and Mirman [16] in the expected-utility framework and Langlais [20] for Selden utility functions with diverging conclusions.…”

Comparative Risk Aversion: A Formal Approach with Applications to Saving Behaviors

“…The preceding proposition could then be expressed by referring to the value of the intertemporal elasticity of substitution, although this would be slightly less general (as differentiability would then be required). Our results however contradict those in Langlais [19], who considers Selden utility functions. Our explanation is that these latter utility functions are not well-ordered in terms of risk aversion.…”

“…Kihlstrom and Mirman [15] prove that risk aversion increases or decreases optimal savings when the return on saving is uncertain, according to whether the intertemporal elasticity of substitution is smaller or greater than one. This finding is contradicted by Langlais [19], who shows that no such result holds in the Selden framework.…”