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On the relationship between absolute prudence and absolute risk aversion

Authors:	Mario A Maggi Umberto Magnani Mario Menegatti

Institution:	(1) Dipartimento di Ricerche Aziendali, Università degli Studi di Pavia,;(2) Dipartimento di Economia Politica e Metodi Quantitativi, Università degli Studi di Pavia,;(3) Dipartimento di Economia, Università degli Studi di Parma,

Abstract:	Abstract For a utility function $u\left( x\right)$ , the functions $a\left( x\right) =-u^{\prime\prime}\left( x\right) /u^{\prime}\left( x\right)$ and $p\left( x\right) =-u^{\prime\prime\prime}\left( x\right) /u^{\prime\prime}\left( x\right)$ are the Arrow-Pratt coefficient of absolute risk aversion (ara) and the coefficient of absolute prudence (ap). They measure respectively an agent’s sensitivity to risk and the strength of the precautionary saving motive under income uncertainty.

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