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Intertemporal Consumption with Risk: A Revealed Preference Analysis

Lanier, Joshua and Miao, Bin and Quah, John and Zhong, Songfa (2018): Intertemporal Consumption with Risk: A Revealed Preference Analysis.

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We run an experiment designed to elicit preferences over state contingent, timed payouts. We analyze the data using a new revealed preference method (building on Nishimura, Ok, and Quah (2017)) that can test for consistency with utility functions that increase with a given preorder. Using this approach, we find strong evidence of correlation averse behavior, a property ruled out by discounted expected utility. We also find evidence in favor of stochastic impatience.

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