expected utility (GEU) to the diversification of agents who maximize the conventional expected utility (EU). Specifically, we … derive the patterns of diversification for agents who maximize a rank-dependent' expected utility, attaching more weight to … bad' than to good' outcomes, in contrast to the probability weights used in a conventional expected utility maximization …

Exchange rates depreciate by the difference between the domestic and foreign marginal utility growths. Exchange rates … vary a lot , as much as 10% per year. However, equity premia imply that marginal utility growths vary much more, by at … least 50% per year. This means that marginal utility growths must be highly correlated across countries -- international …

utility.' In the inward-looking' economy, individuals care about how their consumption in the current period compares to their … case will lead to lower utility than in the inward-looking case …

expected utility models. Households' deductible choices imply a median relative risk aversion of 108. Households' coverage …. Assessing rank dependent utility models, we find that households follow two tenets of prospect theory: overestimation of small …

Habit utility has been the focus of a large and growing body of literature in financial economics. This study …

the Kahneman-Tversky choice experiments for expected utility theory. We suggest anomalies can extract theoretical insights … observe violations of the theory. As an illustration, we generate anomalies for expected utility theory using a large … procedures recover known anomalies and discover new ones for expected utility theory. In incentivized experiments, subjects …