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A Test for Risk-Averse Expected Utility

Author

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  • Liu, Ce

    (University of California, San Diego)

  • Chambers, Christopher

    (University of California, San Diego)

  • Martinez, Seung-Keun

    (University of California, San Diego)

Abstract

We provide a universal condition for rationalizability by risk-averse expected utility preference in a demand-based framework with multiple commodities. Our test can be viewed as a natural counterpart of a classical test of expected utility, due to Fishburn (1975), in a demand setting

Suggested Citation

  • Liu, Ce & Chambers, Christopher & Martinez, Seung-Keun, 2016. "A Test for Risk-Averse Expected Utility," Working Papers 2016-1, Michigan State University, Department of Economics.
    • Handle: RePEc:ris:msuecw:2016_001
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    References listed on IDEAS

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    1. Epstein, Larry G., 2000. "Are Probabilities Used in Markets ?," Journal of Economic Theory, Elsevier, vol. 91(1), pages 86-90, March.
    2. Federico Echenique & Kota Saito, 2015. "Savage in the Market," Econometrica, Econometric Society, vol. 83(4), pages 1467-1495, July.
    3. Felix Kubler & Larry Selden & Xiao Wei, 2014. "Asset Demand Based Tests of Expected Utility Maximization," American Economic Review, American Economic Association, vol. 104(11), pages 3459-3480, November.
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    6. Fishburn, Peter C., 1975. "Separation theorems and expected utilities," Journal of Economic Theory, Elsevier, vol. 11(1), pages 16-34, August.
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    Citations

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    Cited by:

    1. Echenique, Federico & Imai, Taisuke & Saito, Kota, 2023. "Approximate Expected Utility Rationalization," Department of Economics, Working Paper Series qt8pt4287c, Department of Economics, Institute for Business and Economic Research, UC Berkeley.
    2. Aluma Dembo & Shachar Kariv & Matthew Polisson & John Quah, 2021. "Ever since Allais," IFS Working Papers W21/15, Institute for Fiscal Studies.
    3. Federico Echenique, 2020. "New Developments in Revealed Preference Theory: Decisions Under Risk, Uncertainty, and Intertemporal Choice," Annual Review of Economics, Annual Reviews, vol. 12(1), pages 299-316, August.
    4. Anastasia Burkovskaya, 2022. "A model of state aggregation," Economic Theory, Springer;Society for the Advancement of Economic Theory (SAET), vol. 73(1), pages 121-149, February.
    5. Thomas Demuynck & Clément Staner, 2020. "An Efficient Revealed Preference Test for the Maxmin Expected Utility Model," Working Papers ECARES 2020-31, ULB -- Universite Libre de Bruxelles.

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    More about this item

    Keywords

    expected utility; revealed preference;

    JEL classification:

    • C00 - Mathematical and Quantitative Methods - - General - - - General
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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