Score contribution per author:
α: calibrated so average coauthorship-adjusted count equals average raw count
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 5 years. Article published by Oxford University Press on behalf of the Society for Financial Studies in its journal, The Review of Financial Studies.