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dc.contributor.authorPolisson, Matthew
dc.contributor.authorQuah, John K.-H.
dc.contributor.authorRenou, Ludovic
dc.identifier.citationPolisson , M , Quah , J K-H & Renou , L 2017 ' Revealed preferences over risk and uncertainty ' School of Economics and Finance Discussion Paper , no. 1706 , University of St Andrews , St Andrews .en
dc.identifier.otherPURE: 249911472
dc.identifier.otherPURE UUID: 150e5c88-58e6-45ed-9f5d-a28bf35174f3
dc.descriptionRevised 16 April 2019. Ludovic Renou would like to acknowledge financial support from the French National Research Agency (ANR), under the grant CIGNE (ANR-15-CE38-0007-01).en
dc.description.abstractWe develop a nonparametric procedure, called the lattice method, for testing the consistency of contingent consumption data with a broad class of models of choice under risk and under uncertainty. Our method allows for risk loving and elation seeking behavior and can be used to calculate, via Afriat's efficiency index, the magnitude of violations from a particular model of choice. We evaluate the performance of different models (including expected utility, disappointment aversion, rank dependent utility, mean-variance utility, and stochastically monotone utility) in the data collected by Choi et al. (2007), in terms of pass rates, power, and predictive success.
dc.publisherUniversity of St Andrews
dc.relation.ispartofseriesSchool of Economics and Finance Discussion Paperen
dc.rightsCopyright (c)2017, the authorsen
dc.subjectExpected utilityen
dc.subjectRank dependent utilityen
dc.subjectDisappointment aversionen
dc.subjectBronars poweren
dc.subjectPredictive successen
dc.subjectGeneralized axiom of revealed preferenceen
dc.subjectFirst order stochastic dominanceen
dc.subjectMean-variance utilityen
dc.subjectAfriat's efficiency indexen
dc.subjectHB Economic Theoryen
dc.titleRevealed preferences over risk and uncertaintyen
dc.typeWorking or discussion paperen
dc.description.versionPublisher PDFen
dc.description.versionPublisher PDFen
dc.contributor.institutionUniversity of St Andrews.School of Economics and Financeen

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