Multiattribute utility theory, intertemporal utility and correlation aversion.

摘要

Convenient assumptions about qualitative properties of the intertemporal utility functionudhave generated counter-intuitive implications for the relationship between atemporal risk aversionudand the intertemporal elasticity of substitution. If the intertemporal utility function is additivelyudseparable then the latter two concepts are the inverse of each other. We review a simple theoreticaludspecification with a long lineage in the literature on multi-attribute utility, and demonstrate theudcritical role of a concept known as intertemporal correlation aversion. This concept is theudintertemporal analogue of a more general concept applied to two attributes of utility, but where theudattributes just happen to be the time-dating of the good. In the context of intertemporal utilityudfunctions, the concept provides an intuitive explanation of possible differences between (the inverseudof) atemporal risk aversion and the intertemporal elasticity of substitution. We use this theoreticaludstructure to guide the design of a series of experiments that allow us to identify and estimateudintertemporal correlation aversion. Our results show that subjects are correlation averse overudlotteries with intertemporal income profiles, and that the convenient additive specification of theudintertemporal utility function is not an appropriate representation of preferences over time.