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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 (English)In: International Economic Review, ISSN 0020-6598, E-ISSN 1468-2354, Vol. 59, no 2, p. 537-555Article in journal (Refereed) 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.

Place, publisher, year, edition, pages
Wiley-Blackwell Publishing Inc., 2018. Vol. 59, no 2, p. 537-555
National Category
Economics
Identifiers
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
Note

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 

Available from: 2018-06-20 Created: 2018-06-20 Last updated: 2018-06-20Bibliographically approved

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Rutström, Elisabet

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CiteExportLink to record
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Cite
Citation style
  • apa
  • harvard1
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf