Econometrica Vol. 83 No. 4 2015

Savage in the Market

Federico Echenique^1,2,3,4,5,6; Kota Saito^6,2,4,1,5,3

¹ Bocconi University · ² Princeton University · ³ Collegio Carlo Alberto · ⁴ California Institute of Technology · ⁵ The University of Melbourne · ⁶ The University of Queensland

Abstract

We develop a behavioral axiomatic characterization of Subjective Expected Utility (SEU) under risk aversion. Given is an individual agent’s behavior in the market: assume a finite collection of asset purchases with corresponding prices. We show that such behavior satisfies a “revealed preference axiom” if and only if there exists a SEU model (a subjective probability over states and a concave utility function over money) that accounts for the given asset purchases.

DOI

10.3982/ecta12273

Volume

83

Issue

4

Pages

1467-1495

Language

en

Sources

bibtex:phds-export.bib crossref openalex

Cite

APA 7 MLA 9 Chicago (author–date) Harvard Elsevier Harvard (JFE, JBF…) The Accounting Review Academy of Management American Marketing Association INFORMS (Management Science) Copy citation Copied ✓