Buffer stocks and precautionary savings with loss aversion
在损失厌恶假设下重新审视缓冲库存与预防性储蓄，发现损失厌恶对预防性储蓄有一阶效应，而边际效用凹性只有二阶效应，且损失厌恶下稳定基金规模远大于传统预期效用情形。
This paper reexamines buffer stocks and precautionary savings in the presence of loss aversion. We assume that agents are disappointment averse, as in Gul [Econometrica, 59 (1991) 667–686]. We show that the concavity of the marginal utility continues to determine precautionary saving, but its effect is of a second order magnitude (proportional to the square of the coefficient of variation) compared to the first order effect (proportional to the coefficient of variation) induced by loss aversion. We show that a stabilization fund that is rather small when agents are maximizing the conventional expected utility, turns out to be rather large with loss aversion.