Multiattribute Utility Theory, Intertemporal Utility and Correlation Aversion

Steffen Andersen, Glenn W. Harrison, Morten Lau, E. Elisabet Rutström

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

Resumé

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.
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.
SprogEngelsk
TidsskriftInternational Economic Review
Vol/bind29
Udgave nummer2
Sider537-555
Antal sider19
ISSN0020-6598
DOI
StatusUdgivet - maj 2018

Citer dette

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Multiattribute Utility Theory, Intertemporal Utility and Correlation Aversion. / Andersen, Steffen; Harrison, Glenn W.; Lau, Morten; Rutström, E. Elisabet.

I: International Economic Review, Bind 29, Nr. 2, 05.2018, s. 537-555.

Publikation: Bidrag til tidsskriftTidsskriftartikelForskningpeer review

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