Jouini, Elyès; Napp, Clotilde; Nocetti, Diego - In: Journal of Economic Theory 148 (2013) 3, pp. 1255-1267
In this note we extend the theory of precautionary saving to the case of multivariate risk. We introduce a notion of multivariate prudence, related to a precautionary premium, and we propose a matrix-measure to capture the strength of the precautionary saving motive. We discuss the usefulness of...