Recovery of Preferences from Observed Wealth in a Single Realization
REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 1
Posted: 25 Nov 1996
Abstract
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.
JEL Classification: E21
Suggested Citation: Suggested Citation
Dybvig, Philip H. and Rogers, L. C. G. (Chris), Recovery of Preferences from Observed Wealth in a Single Realization. REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 1, Available at SSRN: https://ssrn.com/abstract=3535
Philip H. Dybvig (Contact Author)
Washington University in St. Louis - John M. Olin Business School ( email )
One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States
Feedback
Feedback to SSRN
If you need immediate assistance, call 877-SSRNHelp (877 777 6435) in the United States, or +1 212 448 2500 outside of the United States, 8:30AM to 6:00PM U.S. Eastern, Monday - Friday.