Asset Demand Tests of Risk Preferences with Probability Dependent NM Indices

Abstract

Kubler, Selden, and Wei (2017) identify the incremental axioms which are required for an EU representation to have an NM index that is dependent on rather than independent of state probabilities. This paper aims to answer the question: Are asset demands compatible with the maximization of risk preferences with probability dependent NM indices?

Authors: Matthew Polisson, David Rojo Arjona, Larry Selden, and Xiao Wei

Format: Working Paper

Publication Date: June 1, 2018

Full Citation

Polisson, Matthew, David Rojo Arjona, Larry Selden, and Xiao Wei

. Asset Demand Tests of Risk Preferences with Probability Dependent NM Indices. June 01, 2018.