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Recovery of Preferences from Observed Wealth in a Single Realization

Philip H. DybvigL. C. G. Rogers

出版	SSRN, 1998
URL	http://books.google.com.hk/books?id=gmTgzwEACAAJ&hl=&source=gbs_api

註釋

Von Neumann-Morgenstern preferences over terminal consumption can be inferred from wealth on a single sample path when markets are complete and returns follow a known law in a neoclassical investment problem in either a discrete-time i.i.d. binomial model or a continuous-time diffusion model with a Gaussian state variable. Numerical results suggest that useful information about preferences can be obtained from even a single noisy sample of monthly observations of a portfolio over five years.