Is Kreps-Porteus Utility Distinguishable from Intertemporal Expected Utility?

Susheng Wang

Economic Theory, 1993, vol. 3, issue 1, 119-27

Abstract: In a Lucas (1978) model, with a Kreps-Porteus (1978) nonexpected utility, the following property of equilibrium holds generically in the space of finite-state, Markov output growth rate processes: equilibrium price of equity is distinct from that implied by any intertemporally additive expected.utility satisfying specified regularity conditions. In that sense the more general utility functions are observationally distinguishable from the standard expected utility specification.

Date: 1993
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