What Are Asset Demand Tests of Expected Utility Really Testing?

• 成果类型: Article
• 署名作者: Kubler, Felix; Selden, Larry; Wei, Xiao
• 署名单位: University of Zurich; Swiss Finance Institute (SFI); Columbia University; University of Pennsylvania; Fudan University
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12481
• 发表日期: 2017
• 页码: 784-808
• 关键词: subjective-probability; independence axiom; BEHAVIOR; maximization; uncertainty; INFORMATION; definition; models; CHOICE; MARKET

摘要

Assuming the classic contingent claim setting, a number of financial asset demand tests of Expected Utility have been developed and implemented in experimental settings. However, the domain of preferences of these asset demand tests differ from the mixture space of distributions assumed in the traditional binary lottery laboratory tests of von Neumann-Morgenstern Expected Utility preferences. We derive new sets of axioms for preferences over contingent claims to be representable by an Expected Utility function. We also indicate the additional axioms required to extend the representation to the more general case of preferences over risky prospects.