Dynamically Consistent Intertemporal Dual-Self Expected Utility

Lasse Mononen
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Lasse Mononen: Center for Mathematical Economics, Bielefeld University

No 686, Center for Mathematical Economics Working Papers from Center for Mathematical Economics, Bielefeld University

Abstract: Experimental evidence on intertemporal choice has documented a preference for consumption smoothing that cannot be explained by discounted utility. We study a general class of dynamically consistent intertemporal dual-self preferences that accommodate a preference for consumption smoothing. We show that these general preferences have a simple and tractable structure. They are characterized by a gain-loss asymmetry where gains with respect to future utility are discounted differently than losses. As applications, first, we show that under the stationarity axiom, these preferences are convex or concave. Second, we show that dynamically consistent intertemporal Choquet expected utility coincides with discounted expected utility.

Pages: 27
Date: 2024-02-21
New Economics Papers: this item is included in nep-dcm, nep-evo, nep-exp, nep-mic and nep-upt
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Citations: View citations in EconPapers (3)

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Persistent link: https://EconPapers.repec.org/RePEc:bie:wpaper:686

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