Revealed preferences over risk and uncertainty
Matthew Polisson (),
John Quah () and
Additional contact information
Ludovic Renou: Institute for Fiscal Studies
No W15/25, IFS Working Papers from Institute for Fiscal Studies
Consider a finite data set where each observation consists of a bundle of contingent consumption chosen by an agent from a constraint set of such bundles. We develop a general procedure for testing the consistency of this data set with a broad class of models of choice under risk and under uncertainty. Unlike previous work, we do not require that the agent has a convex preference, so we allow for risk loving and elation seeking behavior. Our procedure can also be extended to calculate the magnitude of violations from a particular model of choice, using an index first suggested by Afriat (1972, 1973). We then apply this index to evaluate different models (including expected utility and disappointment aversion) in the data collected by Choi et al. (2007). We show that among those subjects exhibiting choice behavior consistent with the maximization of some increasing utility function, more than half are consistent with models of expected utility and disappointment aversion.
Keywords: Expected utility; rank dependent utility; maxmin expected utility; variational preferences; generalized axiom of revealed preference (search for similar items in EconPapers)
JEL-codes: C14 C60 D11 D12 D81 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-mic
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (4) Track citations by RSS feed
Downloads: (external link)
Working Paper: Revealed preferences over risk and uncertainty (2017)
Working Paper: Revealed preferences over risk and uncertainty (2015)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
Persistent link: http://EconPapers.repec.org/RePEc:ifs:ifsewp:15/25
Ordering information: This working paper can be ordered from
The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE
Access Statistics for this paper
More papers in IFS Working Papers from Institute for Fiscal Studies The Institute for Fiscal Studies 7 Ridgmount Street LONDON WC1E 7AE. Contact information at EDIRC.
Series data maintained by Emma Hyman ().