Journal of Financial and Quantitative Analysis Vol. 18 No. 3 1983
Nonparametric Tests of Models of Investor Behavior
Abstract
The standard models of consumer behavior under uncertainty are the expected utility model and the mean-variance model. As with any models involving unobservables one might well ask about the empirical content of these hypotheses: what restrictions on observed behavior do these models impose? How can one test observed behavior for consistency with these models? How can one recover the underlying utility function and forecast behavior in new situations?
- DOI
- 10.2307/2330718
- Volume
- 18
- Issue
- 3
- Pages
- 269
- Sources
- openalex crossref