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Savage in the Market

Echenique, Federico and Saito, Kota (2013) Savage in the Market. Social Science Working Paper, 1380. California Institute of Technology , Pasadena, CA. (Unpublished) http://resolver.caltech.edu/CaltechAUTHORS:20170726-151722235

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Abstract

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.


Item Type:Report or Paper (Working Paper)
Additional Information:We thank Kim Border and Chris Chambers for inspiration, comments, and advice.
Group:Social Science Working Papers
Subject Keywords:Subjective Expected Utility; Risk Aversion; Revealed Preference; Testable Implications
Classification Code:JEL: D81, D11
Record Number:CaltechAUTHORS:20170726-151722235
Persistent URL:http://resolver.caltech.edu/CaltechAUTHORS:20170726-151722235
Usage Policy:No commercial reproduction, distribution, display or performance rights in this work are provided.
ID Code:79449
Collection:CaltechAUTHORS
Deposited By: Hanna Storlie
Deposited On:07 Aug 2017 22:02
Last Modified:07 Aug 2017 22:02

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