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- Title
Is Kreps-Porteus utility distinguishable from intertemporal expected utility?
- Authors
Wang, Susheng
- Abstract
In a Lucas (1978) model, with a Kreps-Porteus (1978) nonexpected utility, the following property of equilibrium holds generically in the space of finite-state, Markov output growth rate processes: equilibrium price of equity is distinct from that implied by any intertemporally additive expected utility satisfying specified regularity conditions. In that sense the more general utility functions are observationally distinguishable from the standard expected utility specification.
- Subjects
UTILITY functions; UTILITY theory; CONSUMPTION (Economics); EXPECTED returns; EXPECTED utility; ECONOMIC demand; MARKOV processes; GROWTH rate
- Publication
Economic Theory, 1993, Vol 3, Issue 1, p119
- ISSN
0938-2259
- Publication type
Article
- DOI
10.1007/BF01213696