Multiattribute Utility Theory , Intertemporal Utility , and Correlation Aversion

@inproceedings{Andersen2011MultiattributeUT,
title={Multiattribute Utility Theory , Intertemporal Utility , and Correlation Aversion},
author={Steffen Andersen and Glenn W. Harrison and Morten Igel Lau and E. Elisabet Rutstr{\"o}m},
year={2011}
}

Convenient assumptions about qualitative properties of the intertemporal utility function have generated counterintuitive implications for the relationship between atemporal risk aversion and the intertemporal elasticity of substitution. If the intertemporal utility function is additively separable, then the latter two concepts are the inverse of each other. We review a theoretical specification with a long lineage in the literature on multi-attribute utility and use this theoretical structure… CONTINUE READING