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Utility theory front to back - inferring utility from agents' choices

Abstract:

We pursue an inverse approach to utility theory and consumption and investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment strategies) and ask if it is possible to derive a utility function for which the observed behaviour is optimal. We work in continuous time both in a deterministic and stochastic setting. In the deterministic setup, we find that there are infinitely many utility ...

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Publisher copy:
10.1142/S0219024914500186

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Institution:
University of Oxford
Department:
Oxford, MPLS, Mathematical Inst
Publisher:
World Scientific Publishing Co. Pte Ltd
Journal:
International Journal of Theoretical and Applied Finance
Volume:
17
Issue:
3
Pages:
1450018-1450018
Publication date:
2011-01-18
DOI:
EISSN:
1793-6322
ISSN:
0219-0249
URN:
uuid:b700bc5b-c492-467a-b015-5a5bb20a8744
Source identifiers:
189160
Local pid:
pubs:189160
Language:
English
Keywords:

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