A test for risk-averse expected utility

• 成果类型: Article
• 署名作者: Chambers, Christopher P.; Liu, Ce; Martinez, Seung-Keun
• 署名单位: University of California System; University of California San Diego
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2016.03.002
• 发表日期: 2016
• 页码: 775-785
• 关键词: expected utility; revealed preference; Afriat inequalities

摘要

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. (C) 2016 Elsevier Inc. All rights reserved.