从代理人的选择前后推断效用
Utility theory front to back - inferring utility from agents' choices
摘要：
我们追求效用理论和消费与投资问题的逆方法。而不是指定代理的效用函数和推导出她的行动，我们假设我们观察她的行动（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，所观察到的行为是最佳的。我们在确定性和随机性环境中连续工作。在确定性的设置，我们发现，有无限多的效用函数产生一个给定的消费模式。在随机设置的Black-Scholes完全市场原来，消费和投资策略必须满足一致性条件（PDE），如果他们是来自一个经典的效用最大化问题。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/投资选择推断。
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.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
