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Optimal saving in the presence of two risks

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  • Mario Menegatti

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  • Mario Menegatti, 2009. "Optimal saving in the presence of two risks," Journal of Economics, Springer, vol. 96(3), pages 277-288, April.
    • Handle: RePEc:kap:jeczfn:v:96:y:2009:i:3:p:277-288
    DOI: 10.1007/s00712-008-0049-4
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    References listed on IDEAS

    as
    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    2. Eeckhoudt, Louis & Gollier, Christian & Schlesinger, Harris, 1996. "Changes in Background Risk and Risk-Taking Behavior," Econometrica, Econometric Society, vol. 64(3), pages 683-689, May.
    3. Dreze, Jacques H. & Modigliani, Franco, 1972. "Consumption decisions under uncertainty," Journal of Economic Theory, Elsevier, vol. 5(3), pages 308-335, December.
    4. Christophe Courbage & Béatrice Rey, 2007. "Precautionary saving in the presence of other risks," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 32(2), pages 417-424, August.
    5. repec:hal:journl:hal-00538974 is not listed on IDEAS
    6. Louis Eeckhoudt & Béatrice Rey & Harris Schlesinger, 2007. "A Good Sign for Multivariate Risk Taking," Management Science, INFORMS, vol. 53(1), pages 117-124, January.
    7. Christophe Courbage & Béatrice Rey, 2007. "Precautionary saving in the presence of other risks," Post-Print halshs-03353387, HAL.
    8. Rothschild, Michael & Stiglitz, Joseph E., 1970. "Increasing risk: I. A definition," Journal of Economic Theory, Elsevier, vol. 2(3), pages 225-243, September.
    9. A. Sandmo, 1970. "The Effect of Uncertainty on Saving Decisions," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 37(3), pages 353-360.
    10. Dana, Rose-Anne & Scarsini, Marco, 2007. "Optimal risk sharing with background risk," Journal of Economic Theory, Elsevier, vol. 133(1), pages 152-176, March.
    11. Menegatti, Mario, 2001. "On the Conditions for Precautionary Saving," Journal of Economic Theory, Elsevier, vol. 98(1), pages 189-193, May.
    12. Finkelshtain, Israel & Kella, Offer & Scarsini, Marco, 1999. "On risk aversion with two risks," Journal of Mathematical Economics, Elsevier, vol. 31(2), pages 239-250, March.
    13. Gollier, Christian & Pratt, John W, 1996. "Risk Vulnerability and the Tempering Effect of Background Risk," Econometrica, Econometric Society, vol. 64(5), pages 1109-1123, September.
    14. Mario Menegatti, 2009. "Precautionary saving in the presence of other risks: a comment," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 39(3), pages 473-476, June.
    Full references (including those not matched with items on IDEAS)

    Citations

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    Cited by:

    1. W. Chiu & Louis Eeckhoudt, 2010. "The effects of stochastic wages and non-labor income on labor supply: update and extensions," Journal of Economics, Springer, vol. 100(1), pages 69-83, May.
    2. Dionne, Georges & Li, Jingyuan, 2014. "Comparative Ross risk aversion in the presence of mean dependent risks," Journal of Mathematical Economics, Elsevier, vol. 51(C), pages 128-135.
    3. Michel Denuit & Louis Eeckhoudt & Mario Menegatti, 2011. "Correlated risks, bivariate utility and optimal choices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(1), pages 39-54, January.
    4. Baiardi, Donatella & Manera, Matteo & Menegatti, Mario, 2013. "Consumption and precautionary saving: An empirical analysis under both financial and environmental risks," Economic Modelling, Elsevier, vol. 30(C), pages 157-166.
    5. Donatella Baiardi & Mario Menegatti, 2011. "Pigouvian tax, abatement policies and uncertainty on the environment," Journal of Economics, Springer, vol. 103(3), pages 221-251, July.
    6. Baiardi, Donatella & Manera, Matteo & Menegatti, Mario, 2014. "The Effects of Environmental Risk on Consumption: an Empirical Analysis on the Mediterranean Countries," Energy: Resources and Markets 172443, Fondazione Eni Enrico Mattei (FEEM).
    7. Tao Yuqing & Cheng Wen & Zou Sijie, 2018. "Priority Setting in Health Care with Disease and Treatment Risks," Journal of Systems Science and Information, De Gruyter, vol. 6(6), pages 552-562, December.
    8. Georges Dionne & Jingyuan Li, 2012. "Comparative Ross Risk Aversion in the Presence of Quadrant Dependent Risks," Cahiers de recherche 1226, CIRPEE.
    9. Marco M. Sorge, 2024. "Even imprudent risk lovers may engage in precautionary saving," Journal of Economics, Springer, vol. 143(1), pages 101-109, September.
    10. Mark Roberts, 2009. "International factor mobility and long-run economic growth," Discussion Papers 09/07, University of Nottingham, School of Economics.
    11. Donatella Baiardi & Marco Magnani & Mario Menegatti, 2020. "The theory of precautionary saving: an overview of recent developments," Review of Economics of the Household, Springer, vol. 18(2), pages 513-542, June.
    12. Jiang, Chonghui & Ma, Yongkai & An, Yunbi, 2013. "International portfolio selection with exchange rate risk: A behavioural portfolio theory perspective," Journal of Banking & Finance, Elsevier, vol. 37(2), pages 648-659.
    13. Christophe Courbage & Richard Peter & Béatrice Rey, 2022. "Incentive and welfare effects of correlated returns," Journal of Risk & Insurance, The American Risk and Insurance Association, vol. 89(1), pages 5-34, March.
    14. Rob Aalbers, 2013. "Optimal Discount Rates for Investments in Mitigation and Adaptation," CPB Discussion Paper 257.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    15. Timo R. Lambregts & Paul Bruggen & Han Bleichrodt, 2021. "Insurance decisions under nonperformance risk and ambiguity," Journal of Risk and Uncertainty, Springer, vol. 63(3), pages 229-253, December.
    16. Jingyuan Li, 2012. "Precautionary saving in the presence of labor income and interest rate risks," Journal of Economics, Springer, vol. 106(3), pages 251-266, July.
    17. Rob Aalbers, 2013. "Optimal Discount Rates for Investments in Mitigation and Adaptation," CPB Discussion Paper 257, CPB Netherlands Bureau for Economic Policy Analysis.

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    2. Michel Denuit & Louis Eeckhoudt & Mario Menegatti, 2011. "Correlated risks, bivariate utility and optimal choices," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 46(1), pages 39-54, January.
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    More about this item

    Keywords

    Precautionary saving; Background risk; Uncertainty; D11; D81; E21;
    All these keywords.

    JEL classification:

    • D11 - Microeconomics - - Household Behavior - - - Consumer Economics: Theory
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
    • E21 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment - - - Consumption; Saving; Wealth

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