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摘要翻译：
我们追求效用理论和消费与投资问题的反向方法。我们不是指定一个代理人的效用函数并推导出她的行为，而是假设我们观察她的行为（即她的消费和投资策略），并询问是否有可能推导出一个效用函数，对于这个效用函数，所观察到的行为是最优的。我们在确定性和随机环境中连续工作。在确定性的设置中，我们发现有无限多个效用函数产生一个给定的消费模式。在Black-Scholes完全市场的随机环境下，如果消费和投资策略来自于一个经典的效用最大化问题，那么它们必须满足一个一致性条件(PDE)。我们进一步表明，代理人的重要特征，如她对风险的态度（如DARA）可以直接从她的消费/投资选择中推导出来。
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英文标题：
《Utility theory front to back - inferring utility from agents' choices》
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作者：
Alexander M. G. Cox, David Hobson and Jan Obloj
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最新提交年份：
2012
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分类信息：
一级分类：Quantitative Finance 数量金融学
二级分类：Portfolio Management 项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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英文摘要：
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 and stochastic setting. In the deterministic setup, we find that there are infinitely many utility functions generating a given consumption pattern. In the stochastic setting of the Black-Scholes complete market it turns out that the consumption and investment strategies have to satisfy a consistency condition (PDE) if they are to come from a classical utility maximisation problem. We show further that important characteristics of the agent such as her attitude towards risk (e.g. DARA) can be deduced directly from her consumption/investment choices.
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PDF链接：
https://arxiv.org/pdf/1101.3572
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