RECOVERY OF PREFERENCES FROM OBSERVED WEALTH IN A SINGLE REALIZATION

Authors
DYBVIG PH ROGERS LCG
Citation
Ph. Dybvig et Lcg. Rogers, RECOVERY OF PREFERENCES FROM OBSERVED WEALTH IN A SINGLE REALIZATION, The Review of financial studies, 10(1), 1997, pp. 151-174
Citations number
18
Categorie Soggetti
Business Finance
Journal title
The Review of financial studies → ACNP
ISSN journal
08939454
Volume
10
Issue
1
Year of publication
1997
Pages
151 - 174
Database
ISI
SICI code
0893-9454(1997)10:1<151:ROPFOW>2.0.ZU;2-C
Abstract
Von Neumann-Morgenstern preferences over terminal consumption can be i nferred from wealth on a single sample path when markets are complete and returns follow a known law in a neo-classical investment problem i n either a discrete-time i.i.d. binomial model or a continuous-time di ffusion 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 5 yea rs.