COX, ALEXANDER M. G.; HOBSON, DAVID; OBłÓJ, JAN - In: International Journal of Theoretical and Applied … 17 (2014) 03, pp. 1450018-1
We pursue an inverse approach to utility theory and associated consumption and investment problems. Instead of specifying a utility function and deriving the actions of an agent, we assume that we observe the actions of the agent (i.e. consumption and investment strategies) and ask if it is...
