Social Sciences Brown Bag Seminar

We develop a behavioral axiomatic characterization of Subjective Expected Utility (SEU) under risk aversion.  Given is an individual agent's behavior in the market:  assume a finite collection of asset purchases with corresponding prices. We show that such behavior satisfies a "revealed preference axiom" if and only if there exists a SEU model (a subjective probability over states and a concave utility function over money) that accounts for the given asset purchases.