What Are Asset Demand Tests of Expected Utility Really Testing?*
Author:
Affiliation:
1. University of Zurich and Swiss Finance Institute
2. Columbia University and University of Pennsylvania
3. Fudan University and University of Pennsylvania
Funder
European Research Council
Publisher
Oxford University Press (OUP)
Subject
Economics and Econometrics
Link
http://academic.oup.com/ej/article-pdf/127/601/784/26445566/ej0784.pdf
Reference41 articles.
1. A definition of subjective probability’,;Anscombe;Annals of Mathematical Statistics,1963
2. Utility theory without the completeness axiom’,;Aumann;Econometrica,1962
3. Optimal demand for contingent claims when agents have law invariant utilities’,;Carlier;Mathematical Finance,2011
4. A test for risk‐averse expected utility’,;Chambers;Journal of Economic Theory,2016
5. Revealing preferences graphically: an old method gets a new tool kit’,;Choi;American Economic Review,2007
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