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Kota Saito (Caltech)

4 December 2013 @ 12:00 - 13:15

 

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Details

Date:
4 December 2013
Time:
12:00 - 13:15
Event Category:

“Savage in the Market”

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Abstract

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 utility function over money) that accounts for the given asset purchases.