Asset Demand Based Tests of Expected Utility Maximization

• 成果类型: Article
• 署名作者: Kubler, Felix; Selden, Larry; Wei, Xiao
• 署名单位: University of Zurich; Columbia University; University of Pennsylvania; University of Pennsylvania
• 刊物名称: AMERICAN ECONOMIC REVIEW
• ISSN/ISSBN: 0002-8282
• DOI: 10.1257/aer.104.11.3459
• 发表日期: 2014
• 页码: 3459-3480
• 关键词: behavior; preferences

摘要

We provide conditions under which contingent claim and asset demands are consistent with state independent Expected Utility maximization. The paper focuses on the case of a single commodity and demands are allowed to be functions of probabilities and not just prices and income. We extend prior analyses by deriving three distinct tests for demands to be rationalized by Expected Utility: (i) a contingent claim analogue to the certainty strong axiom of revealed preference, (ii) a characterization of the functional form for demand, and (iii) necessary and sufficient conditions based on the Slutsky matrix.