Jouini, Elyès; Napp, Clotilde; Nocetti, Diego - Université Paris-Dauphine (Paris IX) - 2013
Kimball, 1990a and Kimball, 1990b established that income risk increases the marginal propensity to consume if and only if absolute prudence decreases. We characterize decreasing and increasing multivariate prudence and show that a multidimensional risk increases the marginal propensity to...