Skip to Main content Skip to Navigation
Journal articles

On Multivariate Prudence

Abstract : In this paper we extend the theory of precautionary saving to the case in which uncertainty is multidimensional and we develop a matrix-measure of multivariate prudence. Furthermore, we characterize comparative prudence, decreasing and increasing prudence, the effect of uncertainty on the marginal propensity to consume out of wealth, and the Drèze-Modigliani substitution effect in this multivariate setting. We also characterize the concept of multivariate downside risk aversion as a multivariate preference for harm disaggregation. We show that our definition is equivalent to a positive precautionary saving motive. We propose an alternative measure of the intensity of downside risk aversion and show that this measure is useful in understanding several economic problems that involve multivariate preferences.
Document type :
Journal articles
Complete list of metadata

Cited literature [44 references]  Display  Hide  Download
Contributor : Elyès Jouini Connect in order to contact the contributor
Submitted on : Tuesday, October 25, 2011 - 3:18:37 PM
Last modification on : Wednesday, November 17, 2021 - 12:27:09 PM
Long-term archiving on: : Thursday, January 26, 2012 - 2:44:32 PM


Files produced by the author(s)



Elyès Jouini, Clotilde Napp, Diego Nocetti. On Multivariate Prudence. Journal of Economic Theory, Elsevier, 2013, 148 (3), pp.1255-1267. ⟨10.1016/j.jet.2012.10.007⟩. ⟨halshs-00635558⟩



Record views


Files downloads