Non-expected utility, saving and portfolios

• 成果类型: Article
• 署名作者: Haliassos, M; Hassapis, C
• 署名单位: University of Cyprus
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/1468-0297.00589
• 发表日期: 2001
• 页码: 69-102
• 关键词: risk-aversion; temporal behavior; equity premium; asset returns; UNITED-STATES; consumption; substitution; CHOICE; puzzle; income

摘要

Despite increased stockholding opportunities, standard expected-utility models overpredict household participation and stock holdings. It has been suggested that departures from expected utility could resolve both puzzles. We investigate three measurable departures: (i) Kreps-Porteus preferences, (ii) Yaari's Dual Theory, and (iii) Quiggin's Rank-dependent Utility. Improvements tend to occur in predicted portfolio composition rather than participation, They are limited under (i), questionable under (ii), and more sizeable under (iii). Contrary to priors in the literature. improvements under (iii) do not result from solutions at kinks of indifference curves. We conclude that stockholding puzzles are unlikely to be resolved through preferences alone.