Consumption and asset returns under non-expected utility. Some new evidence

Gil Bufman; Leonardo Leiderman

doi:10.1016/0165-1765(90)90122-H

Consumption and asset returns under non-expected utility. Some new evidence

Gil Bufman^*, Leonardo Leiderman

^*Corresponding author for this work

School of Economics

Research output: Contribution to journal › Article › peer-review

Abstract

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.

Original language	English
Pages (from-to)	231-235
Number of pages	5
Journal	Economics Letters
Volume	34
Issue number	3
DOIs	https://doi.org/10.1016/0165-1765(90)90122-H
State	Published - Nov 1990

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title = "Consumption and asset returns under non-expected utility. Some new evidence",

abstract = "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.",

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Consumption and asset returns under non-expected utility. Some new evidence

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