UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES

DOI10.1142/S0219024914500186zbMath1298.91199arXiv1101.3572OpenAlexW1910638052MaRDI QIDQ5420698

Jan Obłój, David G. Hobson, Alexander Matthew Gordon Cox

Publication date: 13 June 2014

Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1101.3572

zbMATH Keywords

inverse problemdualityconsistency conditionutility maximizationSharpe ratioconsumption and investment problemstochastic wealth

Mathematics Subject Classification ID

Utility theory (91B16) Financial applications of other theories (91G80) Portfolio theory (91G10)

Related Items (5)

Young, timid, and risk takers ⋮ Black's Inverse Investment Problem and Forward Criteria with Consumption ⋮ Parameter Dependent Optimal Thresholds, Indifference Levels and Inverse Optimal Stopping Problems ⋮ Dynamically consistent investment under model uncertainty: the robust forward criteria ⋮ FROM SMILE ASYMPTOTICS TO MARKET RISK MEASURES

Cites Work

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• Consumption-portfolio policies: an inverse optimal problem
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• The integrability problem of asset prices
• Optimal investments for risk- and ambiguity-averse preferences: a duality approach
• Robust Preferences and Robust Portfolio Choice
• The Recoverability of Consumers' Preferences from Market Demand Behavior

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