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Multiattribute Utility Theory, Intertemporal Utility and Correlation Aversion

Andersen, S.; Harrison, G.W.; Lau, M.; Rutström, E.E.

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Authors

S. Andersen

G.W. Harrison

E.E. Rutström



Abstract

Convenient assumptions about qualitative properties of the intertemporal utility function have generated counter-intuitive 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.

Citation

Andersen, S., Harrison, G., Lau, M., & Rutström, E. (2018). Multiattribute Utility Theory, Intertemporal Utility and Correlation Aversion. International Economic Review, 59(2), 537-555. https://doi.org/10.1111/iere.12279

Journal Article Type Article
Acceptance Date Nov 29, 2016
Online Publication Date May 3, 2018
Publication Date May 1, 2018
Deposit Date Nov 30, 2016
Publicly Available Date Mar 29, 2024
Journal International Economic Review
Print ISSN 0020-6598
Electronic ISSN 1468-2354
Publisher Wiley
Peer Reviewed Peer Reviewed
Volume 59
Issue 2
Pages 537-555
DOI https://doi.org/10.1111/iere.12279
Public URL https://durham-repository.worktribe.com/output/1391871

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Copyright Statement
This is the accepted version of the following article: Andersen, S., Harrison, G.W., Lau, M. & Rutström, E.E. (2018). Multiattribute Utility Theory, Intertemporal Utility and Correlation Aversion. International Economic Review 59(2): 537-555, which has been published in final form at https://doi.org/10.1111/iere.12279. This article may be used for non-commercial purposes in accordance With Wiley Terms and Conditions for self-archiving.





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