Discounting under impact of temporal risk aversion - a case of continuous time
AbstractThe main aim of this study is to describe temporal risk aversion impact on the present value. Here the case of continuous time is considered only. Some initial problem with differential equation is obtained as a result of these studies. Then the discounting function is given as the unique solution of this initial problem. The formal influence of risk aversion index on the discounting was pointed out. Among other things, there is proved that for fixed current discount rate the condition of present value temporal monotonicity is equivalent to the condition that temporal risk aversion index is positive. Moreover, there is shown that nominal discount rate increases with temporal risk aversion index.
|Journal series||SSRN Electronic Journal, ISSN 1556-5068, (0 pkt)|
|Publication size in sheets||0.5|
|Keywords in English||Present value, Discounting, Temporal risk aversion|
|Score|| = 0.0, 13-12-2019, ArticleFromJournal|
= 5.0, 13-12-2019, ArticleFromJournal
|Publication indicators||= 0|
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