Non‐Expected Utility, Saving and Portfolios
检验三种非期望效用偏好模型能否解释家庭股票参与和持有量过低的谜题，发现对投资组合构成有改善，但参与率改善有限，且偏好本身难以完全解决该谜题。
Despite increased stockholding opportunities, standard expected‐utility models overpredict household participation and stock holdings. It has been suggested that departures from expected utility could resolve both puzzles. We investigate three measurable departures: (i) Kreps‐Porteus preferences, (ii) Yaari's Dual Theory, and (iii) Quiggin's Rank‐dependent Utility. Improvements tend to occur in predicted portfolio composition rather than participation. They are limited under (i), questionable under (ii), and more sizeable under (iii). Contrary to priors in the literature, improvements under (iii) do not result from solutions at kinks of indifference curves. We conclude that stockholding puzzles are unlikely to be resolved through preferences alone.