Savage in the Market

• 成果类型: Article
• 署名作者: Echenique, Federico; Saito, Kota
• 署名单位: California Institute of Technology
• 刊物名称: ECONOMETRICA
• ISSN/ISSBN: 0012-9682
• DOI: 10.3982/ECTA12273
• 发表日期: 2015
• 页码: 1467-1495
• 关键词: EXPECTED UTILITY MAXIMIZATION; portfolio choice; BEHAVIOR; demand; ambiguity; aversion; tests

摘要

We develop a behavioral axiomatic characterization of subjective expected utility (SEU) under risk aversion. Given is an individual agent's behavior in the market: assume a finite collection of asset purchases with corresponding prices. We show that such behavior satisfies a revealed preference axiom if and only if there exists a SEU model (a subjective probability over states and a concave utility function over money) that accounts for the given asset purchases.