A Revealed Preference Theory for Nonexpected Utility on "Certain x Uncertain" Consumption Pairs

Kazuya Kamiya and Hidehiko Ichimura

No 97-F-8, CIRJE F-Series from CIRJE, Faculty of Economics, University of Tokyo

Abstract: In this paper, we consider a two period decision problem, where the feasible set is the set of "certain x uncertain" consumption pairs. That is the decision maker chooses (x, m) in a feasible set, where x is a certain first period consumption and m is a random second period consumption, a Borei probability measure on the set of real numbers. The purpose of this paper is to present revealed preference theory for nonexpected utility on "certain x uncertain" consumption pairs. We present necessary and sufficient conditions for the data to be consistent with some nonexpected utility functions. In contrast to the standard revealed preference theory, it is shown that the acyclicity of the binary relation naturally introduced from the decision is not sufficient for the existence of a utility function.

Pages: 33 pages
Date: 1997-02
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Journal Article: A Revealed Preference Theory for Non‐expected Utility on “Certain × Uncertain” Consumption Pairs (1998)
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