摘要翻译：
假设代理人的偏好满足一阶随机优势，我们证明了期望效用范式如何使所有最优投资选择合理化：在任何行为律不变（状态无关）环境下的最优投资策略对应于期望效用最大化者的最优，期望效用最大化者具有显式导出的凹不减效用函数。这一结果使我们能够以非参数的方式从代理人的投资选择中推断出代理人的效用和风险厌恶。我们将绝对风险厌恶递减(DARA)的性质与最终财富的分布性质和金融市场的分布性质联系起来。具体地说，我们表明DARA相当于对终端财富的需求，在投资视界上，这种需求比对数定价内核的对立面有更多的价差。
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英文标题：
《Rationalizing Investors Choice》
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作者：
Carole Bernard, Jit Seng Chen, Steven Vanduffel
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最新提交年份：
2014
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分类信息：

一级分类：Quantitative Finance        数量金融学
二级分类：Portfolio Management        项目组合管理
分类描述：Security selection and optimization, capital allocation, investment strategies and performance measurement
证券选择与优化、资本配置、投资策略与绩效评价
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一级分类：Quantitative Finance        数量金融学
二级分类：Risk Management        风险管理
分类描述：Measurement and management of financial risks in trading, banking, insurance, corporate and other applications
衡量和管理贸易、银行、保险、企业和其他应用中的金融风险
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英文摘要：
  Assuming that agents' preferences satisfy first-order stochastic dominance, we show how the Expected Utility paradigm can rationalize all optimal investment choices: the optimal investment strategy in any behavioral law-invariant (state-independent) setting corresponds to the optimum for an expected utility maximizer with an explicitly derived concave non-decreasing utility function. This result enables us to infer the utility and risk aversion of agents from their investment choice in a non-parametric way. We relate the property of decreasing absolute risk aversion (DARA) to distributional properties of the terminal wealth and of the financial market. Specifically, we show that DARA is equivalent to a demand for a terminal wealth that has more spread than the opposite of the log pricing kernel at the investment horizon.
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PDF链接：
https://arxiv.org/pdf/1302.4679