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Multiattribute Utility Theory, Intertemporal Utility, and Correlation Aversion
Copenhagen Business School, Copenhagen, Denmark.
Georgia State University, Atlanta, United States; University of Cape Town, Cape Town, South Africa.
Copenhagen Business School, Copenhagen, Denmark; Durham University, Durham, United Kingdom.
Georgia State University, Atlanta, United States; Stockholm School of Economics, Stockholm, Sweden; University of Cape Town, Cape Town, South Africa.ORCID-id: 0000-0001-8616-3318
2018 (Engelska)Ingår i: International Economic Review, ISSN 0020-6598, E-ISSN 1468-2354, Vol. 59, nr 2, s. 537-555Artikel i tidskrift (Refereegranskat) Published
Abstract [en]

Convenient assumptions about qualitative properties of the intertemporal utility function have generated counterintuitive implications for the relationship between atemporal risk aversion and the intertemporal elasticity of substitution. If the intertemporal utility function is additively separable, then the latter two concepts are the inverse of each other. We review a theoretical specification with a long lineage in the literature on multi-attribute utility and use this theoretical structure to guide the design of a series of experiments that allow us to identify and estimate intertemporal correlation aversion. Our results show that subjects are correlation averse over lotteries with intertemporal income profiles.

Ort, förlag, år, upplaga, sidor
Wiley-Blackwell Publishing Inc., 2018. Vol. 59, nr 2, s. 537-555
Nationell ämneskategori
Nationalekonomi
Identifikatorer
URN: urn:nbn:se:oru:diva-67340DOI: 10.1111/iere.12279ISI: 000434114600007Scopus ID: 2-s2.0-85046334543OAI: oai:DiVA.org:oru-67340DiVA, id: diva2:1221590
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Funding Agencies:

U.S. National Science Foundation  NSF/HSD 0527675  NSF/SES 0616746 

Danish Social Science Research Council  275-08-0289 

Carlsberg Foundation  2008-01-0410 

Tillgänglig från: 2018-06-20 Skapad: 2018-06-20 Senast uppdaterad: 2024-05-27Bibliografiskt granskad

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Rutström, Elisabet

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