Savage in the market

• Autores: Federico Echenique, Kota Saito
• Localización: Econométrica: Journal of the Econometric Society, ISSN 0012-9682, Vol. 83, Nº 4, 2015, págs. 1467-1495
• Idioma: inglés
• Texto completo no disponible (Saber más ...)
• Resumen

  • 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