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Contribution Details
| Type | Journal Article |
| Scope | Discipline-based scholarship |
| Title | What are asset demand tests of expected utility really testing? |
| Organization Unit | |
| Authors |
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| Item Subtype | Original Work |
| Refereed | Yes |
| Status | Published in final form |
| Language |
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| Journal Title | Economic Journal |
| Publisher | Wiley-Blackwell Publishing, Inc. |
| Geographical Reach | international |
| ISSN | 0013-0133 |
| Volume | 127 |
| Number | 601 |
| Page Range | 784 - 808 |
| Date | 2017 |
| Abstract Text | Assuming the classic contingent claim setting, a number of financial asset demand tests of Expected Utility have been developed and implemented in experimental settings. However the domain of preferences of these asset demand tests differ from the mixture space of distributions assumed in the traditional binary lottery laboratory tests of von Neumann-Morgenstern Expected Utility preferences. We derive new sets axioms that are necessary and sufficient for preferences over contingent claims to be representable by an Expected Utility function. We also indicate the additional axioms required to extend the representation to the more general case of preferences over risky prospects. |
| Free access at | DOI |
| Related URLs | |
| Digital Object Identifier | 10.1111/ecoj.12481 |
| Other Identification Number | merlin-id:14000 |
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