UTILITY THEORY FRONT TO BACK — INFERRING UTILITY FROM AGENTS' CHOICES
نویسندگان
چکیده
منابع مشابه
Utility theory front to back – inferring utility from agents’ choices
We pursue an inverse approach to utility theory and consumption & 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 function for which the observed behaviour is optimal. We work in continuous time both in a deterministic a...
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Much of this is taken from Luce and Raiffa’s book and G. Owen’s book and this should be thought of as an extract from these references. Decision making is classified into four types based on who makes the decision (i)individual; (ii)group and on under what conditions it is made: (a)certainty;(b)risk; (c)uncertainty; or (d) combination of (b) and (c). Regardless of whether the decision is made b...
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ژورنال
عنوان ژورنال: International Journal of Theoretical and Applied Finance
سال: 2014
ISSN: 0219-0249,1793-6322
DOI: 10.1142/s0219024914500186