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: We run an experiment designed to elicit preferences over state contingent, timed payouts. We analyze the data using a new revealed preference method (building on Nishimura, Ok, and Quah (2017)) that can test for consistency with utility functions that increase with a given preorder. Using this approach, we find strong evidence of correlation averse behavior, a property ruled out by discounted expected utility. We also find evidence in favor of stochastic impatience.

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
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Citations: View citations in EconPapers (1)

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Related works:
Journal Article: Intertemporal Consumption with Risk: A Revealed Preference Analysis (2024)
Working Paper: Intertemporal Consumption with Risk: A Revealed Preference Analysis (2018)
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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:101407

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