Kubler, Selden, and Wei (2017) identify the incremental axioms which are required for an EU representation to have an NM index that is dependent on rather than independent of state probabilities. This paper aims to answer the question: Are asset demands compatible with the maximization of risk preferences with probability dependent NM indices?
Polisson, Matthew, David Rojo Arjona, Larry Selden, and Xiao Wei. "Asset Demand Tests of Risk Preferences with Probability Dependent NM Indices." Columbia Business School, June 2018.
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