Revealed Preferences over Risk and Uncertainty

• 成果类型: Article
• 署名作者: Polisson, Matthew; Quah, John K-H; Renou, Ludovic
• 署名单位: University of Bristol; University of London; London School Economics & Political Science; Johns Hopkins University; National University of Singapore; University of London; Queen Mary University London; University of Adelaide
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.20180210
• 发表日期: 2020
• 页码: 1782-1820
• 关键词: expected utility; nonparametric-tests; ambiguity aversion; CHOICE; Heterogeneity; Consistency; BEHAVIOR; GARP

摘要

We develop a nonparametric method, called Generalized Restriction of Infinite Domains (GRID), for testing the consistency of budgetary choice data with models of choice under risk and under uncertainty. Our test can allow for risk-loving and elation-seeking attitudes, or it can require risk aversion. It can also be used to calculate, via Afriat's efficiency index, the magnitude of violations from a particular model. We evaluate the performance of various models under risk (expected utility, disappointment aversion, rank-dependent utility, and stochastically monotone utility) using data collected from several recent portfolio choice experiments.