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Consumption and asset returns under non-expected utility

1990; Elsevier BV; Volume: 34; Issue: 3 Linguagem: Inglês

10.1016/0165-1765(90)90122-h

1873-7374

Gil Bufman, Leonardo Leiderman,

Economic theories and models

This paper implements on quarterly time series data for Israel the orthogonality conditions derived from an intertemporal consumption-based asset pricing model with non-expected utility. The model's restrictions are not rejected by the sample information and there is evidence against the commonly used expected-utility formulation.