MULTIATTRIBUTE UTILITY THEORY, INTERTEMPORAL UTILITY, AND CORRELATION AVERSION

• 成果类型: Article
• 署名作者: Andersen, Steffen; Harrison, Glenn W.; Lau, Morten I.; Rutstrom, E. Elisabet
• 署名单位: Copenhagen Business School; University System of Georgia; Georgia State University; University of Cape Town; Durham University; Orebro University; Stockholm School of Economics
• 刊物名称: INTERNATIONAL ECONOMIC REVIEW
• ISSN/ISSBN: 0020-6598
• DOI: 10.1111/iere.12279
• 发表日期: 2018
• 页码: 537-555
• 关键词: risk-aversion; nonexpected utility; temporal behavior; preferences; INDEPENDENCE; CHOICE; substitution; consumption

摘要

Convenient assumptions about qualitative properties of the intertemporal utility function have generated counterintuitive implications for the relationship between atemporal risk aversion and the intertemporal elasticity of substitution. If the intertemporal utility function is additively separable, then the latter two concepts are the inverse of each other. We review a theoretical specification with a long lineage in the literature on multi-attribute utility and use this theoretical structure to guide the design of a series of experiments that allow us to identify and estimate intertemporal correlation aversion. Our results show that subjects are correlation averse over lotteries with intertemporal income profiles.