请教CRRA中的指数参数是什么意思？

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请教CRRA中的指数参数是什么意思？如果小于1，会发生什么情况，如果大于1又会出现什么情况

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关键词：是什么意思 CRRA CRR 大于1 请教 指数 意思 参数 CRRA

如果指数指数越大，是不是就意味着风险厌恶越大？请教高人

CRRA is coefficient of relative risk aversion. Hence, investors would like to avoid risk badly if they get high CRRA.

1# huiaii

From wiki
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Relative risk aversionThe Arrow-Pratt measure of relative risk-aversion (RRA) or coefficient of relative risk aversion is defined as
.

Like for absolute risk aversion, the corresponding terms constant relative risk aversion (CRRA) and decreasing/increasing relative risk aversion(DRRA/IRRA) are used. This measure has the advantage that it is still avalid measure of risk aversion, even if it changes from risk-averse torisk-loving, i.e. is not strictly convex/concave over all c.A constant RRA implies a decreasing ARA, but the reverse is not alwaystrue. However, as a specific example, the expected utility function u(c) = log(c) does imply RRA = 1.

In intertemporal choice problems, the elasticity of intertemporal substitution is often unable to be disentangled from the coefficient of relative risk aversion. The isoelastic utility function


exhibits constant relative risk aversion with Ru(c) = ρ and the elasticity of intertemporal substitution . When ρ = 1 and one is subtracted in the numerator (facilitating the use of l'Hôpital's rule), this simplifies to the case of log utility, and the income effect and substitution effect on saving exactly offset.