Life-Cycle Preferences Revisited

Bommier, Antoine

doi:10.2139/ssrn.1975736

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Life-Cycle Preferences Revisited

CER-ETH Working Paper No. 11/155

49 Pages Posted: 22 Dec 2011

See all articles by Antoine Bommier

Antoine Bommier

ETH Zürich - CER-ETH - Center of Economic Research at ETH Zurich

There are 2 versions of this paper

Date Written: December 22, 2011

Abstract

An axiomatic construction for lifecycle preferences accounting for the finiteness and the randomness of life duration is provided. We emphasize the role of intertemporal correlation aversion and explain why multiplicative preferences provide an interesting alternative to additive preferences, allowing to separate risk aversion from intertemporal elasticity of substitution. Implications regarding the shape of the optimal consumption profiles are discussed.

Keywords: intertemporal choice, life-cycle models, multivariate risk aversion, uncertain lifetime

JEL Classification: D91

Suggested Citation: Suggested Citation

Bommier, Antoine, Life-Cycle Preferences Revisited (December 22, 2011). CER-ETH Working Paper No. 11/155, Available at SSRN: https://ssrn.com/abstract=1975736 or http://dx.doi.org/10.2139/ssrn.1975736