"A Revealed Preference Theory for Nonexpected Utility on "Certain x Uncertain" Consumption Pairs"
In this paper, we consider a two period decision problem, where the feasible set is the set of "certain x uncertain" consumption pairs. That is the decision maker chooses (x, m) in a feasible set, where x is a certain first period consumption and m is a random second period consumption, a Borei probability measure on the set of real numbers. The purpose of this paper is to present revealed preference theory for nonexpected utility on "certain x uncertain" consumption pairs. We present necessary and sufficient conditions for the data to be consistent with some nonexpected utility functions. In contrast to the standard revealed preference theory, it is shown that the acyclicity of the binary relation naturally introduced from the decision is not sufficient for the existence of a utility function.
Year of publication: |
1997-02
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Authors: | Kamiya, Kazuya ; Ichimura, Hidehiko |
Institutions: | Center for International Research on the Japanese Economy (CIRJE), Faculty of Economics |
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