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• W1910638052 startingPage "1450018" @default.
• W1910638052 abstract "We pursue an inverse approach to utility theory and associated consumption and investment problems. Instead of specifying a utility function and deriving the actions of an agent, we assume that we observe the actions of the agent (i.e. consumption and investment strategies) and ask if it is possible to derive a utility function for which the observed behavior 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 functions generating a given consumption pattern. In the stochastic setting of a geometric Brownian motion market it turns out that the consumption and investment strategies have to satisfy a consistency condition (PDE) if they are to come from a classical utility maximization problem. We show further that important characteristics of the agent such as risk attitudes (e.g., DARA) can be deduced directly from the agent's consumption and investment choices." @default.
• W1910638052 created "2016-06-24" @default.
• W1910638052 creator A5036223878 @default.
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• W1910638052 date "2014-05-01" @default.
• W1910638052 modified "2023-09-27" @default.
• W1910638052 title "UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES" @default.
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• W1910638052 doi "https://doi.org/10.1142/s0219024914500186" @default.
• W1910638052 hasPublicationYear "2014" @default.
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