MULTIATTRIBUTE UTILITY THEORY, INTERTEMPORAL UTILITY, AND CORRELATION AVERSION
指出跨期效用函数若可加分离，则风险厌恶与跨期替代弹性互为倒数，这会产生反直觉结论。作者回顾多属性效用理论，设计实验识别并估计跨期相关性厌恶，发现受试者对跨期收入彩票表现出相关性厌恶。
Abstract 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 to guide the design of a series of experiments that allow us to identify and estimate intertemporal correlation aversion. Our results show that subjects are correlation averse over lotteries with intertemporal income profiles.