Recover Dynamic Utility from Observable Process: Application to the Economic Equilibrium

DOI10.1137/18M1235843zbMath1461.91126OpenAlexW3027264385MaRDI QIDQ4987714

Nicole El Karoui, Mohamed Mrad

Publication date: 4 May 2021

Published in: SIAM Journal on Financial Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/18m1235843

zbMATH Keywords

dualityportfolio optimizationeconomic equilibriumconsistent utilityprogressive utilityaggregated utilitycharacteristic processinverse thinkingrevealed preference/utilityutility recovery problem

Mathematics Subject Classification ID

Utility theory (91B16) Financial applications of other theories (91G80) General equilibrium theory (91B50) Individual preferences (91B08)

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