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Nonparametric Tests of Models of Investor Behavior

Published online by Cambridge University Press:  06 April 2009

Hal R. Varian
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Abstract

The standard models of consumer behavior under uncertainty are the expected utility model and the mean-variance model. As with any models involving unobservables one might well ask about the empirical content of these hypotheses: what restrictions on observed behavior do these models impose? How can one test observed behavior for consistency with these models? How can one recover the underlying utility function and forecast behavior in new situations?

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Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 18 , Issue 3 , September 1983 , pp. 269 - 278
Copyright
Copyright © School of Business Administration, University of Washington 1983

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