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Multiattribute utility theory, intertemporal utility and correlation aversion.

Andersen, S. and Harrison, G.W. and Lau, M. and Rutström, E.E. (2018) 'Multiattribute utility theory, intertemporal utility and correlation aversion.', International economic review., 59 (2). pp. 537-555.

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.

Item Type:Article
Full text:(AM) Accepted Manuscript
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Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1111/iere.12279
Publisher 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.
Date accepted:29 November 2016
Date deposited:01 December 2016
Date of first online publication:03 May 2018
Date first made open access:03 May 2020

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