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A test for risk-averse expected utility

Christopher Chambers, Ce Liu and Seung-Keun Martinez

Journal of Economic Theory, 2016, vol. 163, issue C, 775-785

Abstract: We provide a universal condition for rationalizability by risk-averse expected utility preference in a demand-based framework with multiple commodities. Our test can be viewed as a natural counterpart of a classical test of expected utility, due to Fishburn (1975), in a demand setting.

Keywords: Expected utility; Revealed preference; Afriat inequalities (search for similar items in EconPapers)
JEL-codes: D81 G11 G13 (search for similar items in EconPapers)
Date: 2016
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Handle: RePEc:eee:jetheo:v:163:y:2016:i:c:p:775-785