Recovery of Preferences from Observed Wealth in a Single Realization
by Philip H. Dybvig and L. C. G. Rogers


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.

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