Savage in the Market by Federico Echenique And

Savage in the Market: Online Appendix (NOT FOR PUBLICATION)

Savage in the Market: Extensions. Online Appendix (NOT FOR PUBLICATION)

Savage in the Market

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 u...

Division of the Humanities and Social Sciences California Institute of Technology Pasadena, California 91125 Savage in the Market

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 u...

Supplement to “ Savage in the Market ”

THIS SUPPLEMENT CONSISTS OF EIGHT SECTIONS. In Section S.1, we illustrate the use of SARSEU through a few simple theoretical exercises. In each case, the exercise is to present a well known alternative to risk-averse SEU and to show that data generated by these theories can violate SARSEU. In Section S.2, we show that, in the 2 × 2 case, SARSEU is equivalent to requirements (5) and (6) in the m...