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Eliciting Beliefs from Optimal Portfolios

出版	SSRN, 2017
URL	http://books.google.com.hk/books?id=fcPfzwEACAAJ&hl=&source=gbs_api

註釋An investor has a strictly increasing Bernoulli utility function. He chooses an expected utility maximizing portfolio among a finite set of assets with random return profile. A compensation scheme assigns positive payments to the investor depending on his portfolio and the realized return profile. We show that for every utility function there exists a compensation scheme such that the optimal portfolio subject to the compensation scheme perfectly reveals the investor's probability distribution over the joint return profile. Moreover, the maximal payment under a belief revealing compensation scheme can be arbitrarily small.