Arbeitspapier

Revealed preferences over risk and uncertainty

Consider a finite data set where each observation consists of a bundle of contingent consumption chosen by an agent from a constraint set of such bundles. We develop a general procedure for testing the consistency of this data set with a broad class of models of choice under risk and under uncertainty. Unlike previous work, we do not require that the agent has a convex preference, so we allow for risk loving and elation seeking behavior. Our procedure can also be extended to calculate the magnitude of violations from a particular model of choice, using an index first suggested by Afriat (1972, 1973). We then apply this index to evaluate different models (including expected utility and disappointment aversion) in the data collected by Choi et al. (2007). We show that among those subjects exhibiting choice behavior consistent with the maximization of some increasing utility function, more than half are consistent with models of expected utility and disappointment aversion

Sprache
Englisch

Erschienen in
Series: IFS Working Papers ; No. W15/25

Klassifikation
Wirtschaft
Semiparametric and Nonparametric Methods: General
Mathematical Methods; Programming Models; Mathematical and Simulation Modeling: General
Consumer Economics: Theory
Consumer Economics: Empirical Analysis
Criteria for Decision-Making under Risk and Uncertainty
Thema
Expected utility
rank dependent utility
maxmin expected utility
variational preferences
generalized axiom of revealed preference

Ereignis
Geistige Schöpfung
(wer)
Polisson, Matthew
Quah, John K.-H.
Renou, Ludovic
Ereignis
Veröffentlichung
(wer)
Institute for Fiscal Studies (IFS)
(wo)
London
(wann)
2015

DOI
doi:10.1920/wp.ifs.2015.1525
Handle
Letzte Aktualisierung
10.03.2025, 11:44 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Polisson, Matthew
  • Quah, John K.-H.
  • Renou, Ludovic
  • Institute for Fiscal Studies (IFS)

Entstanden

  • 2015

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