Utility theory front to back - inferring utility from agents' choices
We pursue an inverse approach to utility theory and consumption and investment problems. Instead of specifying an agent's utility function and deriving her actions, we assume we observe her actions (i.e. her consumption and investment strategies) and ask if it is possible to derive a utility fu...
| Main Authors: | , , |
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| Format: | Journal article |
| Language: | English |
| Published: |
World Scientific Publishing Co. Pte Ltd
2011
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