Intertemporal Consumption with Risk: A Revealed Preference Analysis

Joshua Lanier, Bin Miao, John Quah and Songfa Zhong

MPRA Paper from University Library of Munich, Germany

Abstract: This paper presents a nonparametric, revealed preference analysis of intertemporal consumption with risk. In an experimental setting, subjects allocate tokens over four commodities, consisting of consumption in two contingent states and at two time periods, subject to different budget constraints. With this data, one could test, using Afriat's Theorem and its generalizations, whether a subject's choices are consistent with utility maximization, and also utility maximization with various additional properties on the utility function. Our results broadly support a model where subjects maximize a utility function that is weakly separable across states but there is little support for weak separability across time. Our result sheds light on the source of the failure of the discounted expected utility model.

Keywords: risk preference; time preference; revealed preference; budgetary choice; Afriat's Theorem; experiment (search for similar items in EconPapers)
JEL-codes: C91 D03 D90 (search for similar items in EconPapers)
Date: 2018-02-01
New Economics Papers: this item is included in nep-exp and nep-upt
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://mpra.ub.uni-muenchen.de/86263/1/MPRA_paper_86263.pdf original version (application/pdf)
https://mpra.ub.uni-muenchen.de/101039/1/MPRA_paper_101039.pdf revised version (application/pdf)

Related works:
Journal Article: Intertemporal Consumption with Risk: A Revealed Preference Analysis (2024)
Working Paper: Intertemporal Consumption with Risk: A Revealed Preference Analysis (2018)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:86263

Access Statistics for this paper

More papers in MPRA Paper from University Library of Munich, Germany Ludwigstraße 33, D-80539 Munich, Germany. Contact information at EDIRC.
Bibliographic data for series maintained by Joachim Winter ().