Non‐Expected Utility, Saving and Portfolios
Bibliographic Data
| ID | 9709845 |
|---|---|
| Authors | Michael Haliassos (0000-0002-6355-6896, University of Cyprus), Christis Hassapis (0000-0002-7808-270X, University of Cyprus) |
| Year | 2001 |
| Volume | 111 |
| Issue | 468 |
| Pages | 69-102 |
| Publication date | 2001-01-01 |
| Peer Reviewed | Yes |
| Open Access | Yes |
| Type | ARTICLE |
| Venue | The Economic Journal (JOURNAL) |
| Journal identifiers | ISSN: 0013-0133 • E-ISSN: 1468-0297 |
| Publisher | Oxford University Press (OUP) (PUBLISHER) |
| DOI | 10.1111/1468-0297.00589 |
| OpenAlex | W2150068360 |
| Language | EN |
| Citations received | 1 |
| References cited | 12 |
Despite increased stockholding opportunities, standard expected‐utility models overpredict household participation and stock holdings. It has been suggested that departures from expected utility could resolve both puzzles. We investigate three measurable departures: (i) Kreps‐Porteus preferences, (ii) Yaari's Dual Theory, and (iii) Quiggin's Rank‐dependent Utility. Improvements tend to occur in predicted portfolio composition rather than participation. They are limited under (i), questionable under (ii), and more sizeable under (iii). Contrary to priors in the literature, improvements under (iii) do not result from solutions at kinks of indifference curves. We conclude that stockholding puzzles are unlikely to be resolved through preferences alone
Bayesian probability · Dual (grammatical number · Econometrics · Economics · Expected utility hypothesis · Financial economics · Isoelastic utility · Mathematical economics · Microeconomics · Portfolio · Prior probability · Rank (graph theory · Statistics · Stock (firearms · Utility theory · Financial Literacy, Pension, Retirement Analysis · Housing Market and Economics · Mathematics · Monetary Policy and Economic Impact
The equity premium
The Buffer-Stock Theory of Saving
The Dual Theory of Choice under Risk
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns
Saving and Uncertainty
A theory of anticipated utility
Stockholding Behavior of U.S. Households
Asset Holding and Consumption Volatility
Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns
On Perfect Foresight Models of a Stochastic World
Why do so Few Hold Stocks
The Computational Experiment
| Unique citing works | 1 |
|---|---|
| Citations per year | 0,08 |
| Citation span | 2014 - 2014 (1) |
| Citation velocity | historical |
| Highly cited | No |
| Citation types | Neutral: 1 |