Market Constraints as a Rationale for the Friedman-Savage Utility Function
نویسندگان
چکیده
منابع مشابه
Savage in the Market
We develop a behavioral axiomatic characterization of Subjective Expected Utility (SEU) under risk aversion. Given is an individual agent’s behavior in the market: assume a finite collection of asset purchases with corresponding prices. We show that such behavior satisfies a “revealed preference axiom” if and only if there exists a SEU model (a subjective probability over states and a concave u...
متن کاملA Friedman-Savage Consumer Almost Gambles: A Continuous Time Model of Consumption and Investment with Non-Concave Utility
We examine the consumption and portfolio decisions of an agent with Friedman-Savage type period utility in continuous time.We find the FriedmanSavage consumer does not gamble, but will aggressively invest in risky activities for wealth levels that support a minimum subsistence level of consumption. As the market premium of risk approaches zero, the agent becomes infinitely aggressive for these ...
متن کاملSupplement to “ Savage in the Market ”
THIS SUPPLEMENT CONSISTS OF EIGHT SECTIONS. In Section S.1, we illustrate the use of SARSEU through a few simple theoretical exercises. In each case, the exercise is to present a well known alternative to risk-averse SEU and to show that data generated by these theories can violate SARSEU. In Section S.2, we show that, in the 2 × 2 case, SARSEU is equivalent to requirements (5) and (6) in the m...
متن کاملA Savage-Like Axiomatization for Nonstandard Expected Utility
Since Leonard Savage’s epoch-making memoir [13], Subjective Expected Utility Theory has been the presumptive model for decision-making. Savage provided an act-based axiomatization of standard expected utility theory. In this article, we provide a Savage-like axiomatization of nonstandard expected utility theory. It corresponds to a weakening of Savage’s 6 axiom.
متن کاملthe test for adverse selection in life insurance market: the case of mellat insurance company
انتخاب نامساعد یکی از مشکلات اساسی در صنعت بیمه است. که ابتدا در سال 1960، توسط روتشیلد واستیگلیتز مورد بحث ومطالعه قرار گرفت ازآن موقع تاکنون بسیاری از پژوهشگران مدل های مختلفی را برای تجزیه و تحلیل تقاضا برای صنعت بیمه عمر که تماما ناشی از عدم قطعیت در این صنعت میباشد انجام داده اند .وهدف از آن پیدا کردن شرایطی است که تحت آن شرایط انتخاب یا کنار گذاشتن یک بیمه گزار به نفع و یا زیان شرکت بیمه ...
15 صفحه اولذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Journal of Political Economy
سال: 1981
ISSN: 0022-3808,1537-534X
DOI: 10.1086/261005