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Discounted Expected Utility: A Revealed Preference Analysis

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  • Wei Ma

Abstract

We present a revealed preference characterization of the discounted expected utility model with a concave utility function. The characterization offers a nonparametric test of the model. We apply the test to an experimental data set in the literature and find that the model is almost always rejected even when all payments involved are subject to risk.

Suggested Citation

  • Wei Ma, 2026. "Discounted Expected Utility: A Revealed Preference Analysis," Papers 2606.29779, arXiv.org.
    • Handle: RePEc:arx:papers:2606.29779
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    File URL: https://arxiv.org/pdf/2606.29779
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    References listed on IDEAS

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    1. Varian, Hal R, 1982. "The Nonparametric Approach to Demand Analysis," Econometrica, Econometric Society, vol. 50(4), pages 945-973, July.
    2. Joshua Lanier & Bin Miao & John K.-H. Quah & Songfa Zhong, 2024. "Intertemporal Consumption with Risk: A Revealed Preference Analysis," The Review of Economics and Statistics, MIT Press, vol. 106(5), pages 1319-1333, September.
    3. Thomas Demuynck & Clément Staner, 2024. "A Revealed Preference Test for Choquet and Max-Min Expected Utility with Ambiguity Aversion†," ULB Institutional Repository 2013/390822, ULB -- Universite Libre de Bruxelles.
    4. Varian, Hal R., 1983. "Nonparametric Tests of Models of Investor Behavior," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 18(3), pages 269-278, September.
    5. Thomas Demuynck & Clément Staner, 2024. "A Revealed Preference Test for Choquet and Max-Min Expected Utility with Ambiguity Aversion," American Economic Journal: Microeconomics, American Economic Association, vol. 16(4), pages 291-328, November.
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