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Published August 7, 2017 | Submitted
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Savage in the Market


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.

Additional Information

We thank Kim Border and Chris Chambers for inspiration, comments, and advice.

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