Data and Code for: Revealed Preferences over Risk and Uncertainty

Resource Type
Dataset : experimental data
  • Polisson, Matthew (University of Bristol)
  • Quah, John K.-H. (Johns Hopkins University)
  • Renou, Ludovic (Queen Mary University of London)
Publication Date
Free Keywords
expected utility; rank dependent utility; disappointment aversion; GARP; first order stochastic dominance; risk aversion; Afriat efficiency; intertemporal consumption
  • Abstract

    We develop a nonparametric method called Generalized Restriction of Infinite Domains (GRID), for testing the consistency of budgetary choice data with models of choice under risk and under uncertainty. Our test can allow for risk loving and elation seeking attitudes, or it can require risk aversion. It can also be used to calculate, via Afriat's efficiency index, the magnitude of violations from a particular model. We evaluate the performance of various models under risk (expected utility, disappointment aversion, rank dependent utility, and stochastically monotone utility) using data collected from several recent portfolio choice experiments.
Temporal Coverage
  • 2007-01-01 / 2018-12-31
    Time Period: Mon Jan 01 00:00:00 EST 2007--Mon Dec 31 00:00:00 EST 2018
  • 2007-01-01 / 2018-12-31
    Collection Date(s): Mon Jan 01 00:00:00 EST 2007--Mon Dec 31 00:00:00 EST 2018
Geographic Coverage
  • USA, Netherlands, Canada
Sampled Universe
Choi et al. (2007) -- 93 subjects, undergraduate students at the University of California, Berkeley
Choi et al. (2014) -- 1,182 subjects, representative of the Dutch-speaking population of the Netherlands
Halevy, Persitz, and Zrill (2018) -- 207 subjects, primarily undergraduate students at the University of British Columbia
  • Is supplement to
    DOI: 10.1257/aer.20180210 (Text)
  • Polisson, Matthew, John K.-H. Quah, and Ludovic Renou. “Revealed Preferences over Risk and Uncertainty.” American Economic Review 110, no. 6 (June 2020): 1782–1820.
    • ID: 10.1257/aer.20180210 (DOI)

Update Metadata: 2020-06-13 | Issue Number: 1 | Registration Date: 2020-06-13