### Abstract

Language | English |
---|---|

Journal | International Economic Review |

Volume | 29 |

Issue number | 2 |

Pages | 537-555 |

Number of pages | 19 |

ISSN | 0020-6598 |

DOIs | |

State | Published - May 2018 |

### Cite this

*International Economic Review*,

*29*(2), 537-555. DOI: 10.1111/iere.12279

}

*International Economic Review*, vol. 29, no. 2, pp. 537-555. DOI: 10.1111/iere.12279

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

Research output: Contribution to journal › Journal article › Research › peer-review

TY - JOUR

T1 - Multiattribute Utility Theory, Intertemporal Utility and Correlation Aversion

AU - Andersen,Steffen

AU - Harrison,Glenn W.

AU - Lau,Morten

AU - Rutström,E. Elisabet

PY - 2018/5

Y1 - 2018/5

N2 - 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.

AB - 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.

U2 - 10.1111/iere.12279

DO - 10.1111/iere.12279

M3 - Journal article

VL - 29

SP - 537

EP - 555

JO - International Economic Review

T2 - International Economic Review

JF - International Economic Review

SN - 0020-6598

IS - 2

ER -