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Recovery of Preferences from Observed Wealth in a Single Realization


Philip H. Dybvig


Washington University in Saint Louis - John M. Olin Business School

L. C. G. Rogers


University of Cambridge - Centre for Mathematical Sciences

REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 1

Abstract:     
Von Neumann-Morgenstern preferences over terminal consumption can be inferred from wealth on a single sample path when markets are complete and returns follow a known law in a neoclassical investment problem in either a discrete-time i.i.d. binomial model or a continuous-time diffusion 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 five years.

JEL Classification: E21

Accepted Paper Series


Date posted: November 25, 1996  

Suggested Citation

Dybvig, Philip H. and Rogers, L. C. G., Recovery of Preferences from Observed Wealth in a Single Realization. REVIEW OF FINANCIAL STUDIES, Vol. 10, No. 1. Available at SSRN: http://ssrn.com/abstract=3535

Contact Information

Philip H. Dybvig (Contact Author)
Washington University in Saint Louis - John M. Olin Business School ( email )
One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States
L. C. G. (Chris) Rogers
University of Cambridge - Centre for Mathematical Sciences ( email )
Cambridge, CB3 9DD
United Kingdom
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