American Economic Journal:
Microeconomics
ISSN 1945-7669 (Print) | ISSN 1945-7685 (Online)
A Revealed Preference Test for Choquet and Max-Min Expected Utility with Ambiguity Aversion
American Economic Journal: Microeconomics
vol. 16,
no. 4, November 2024
(pp. 291–328)
Abstract
We develop a revealed preference test for the Choquet expected utility model with ambiguity aversion, which does not rely on specific functional form assumptions on the utility index. It is computationally efficient if the number of states is not too large, even for a large number of observations. This is a nice feature compared to other existing revealed preference tests for decision models with ambiguity. We illustrate the usefulness of our results by implementing our test on two experimental datasets from the literature, and we compare the empirical fit of this model to the subjective expected utility model.Citation
Demuynck, Thomas, and Clément Staner. 2024. "A Revealed Preference Test for Choquet and Max-Min Expected Utility with Ambiguity Aversion." American Economic Journal: Microeconomics, 16 (4): 291–328. DOI: 10.1257/mic.20220155Additional Materials
JEL Classification
- C91 Design of Experiments: Laboratory, Individual
- D81 Criteria for Decision-Making under Risk and Uncertainty
- D91 Micro-Based Behavioral Economics: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making
- G41 Behavioral Finance: Role and Effects of Psychological, Emotional, Social, and Cognitive Factors on Decision Making in Financial Markets [Neurofinance]
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