Nonparametric Tests of Models of Investor Behavior
探讨在不确定性下，期望效用模型和均值方差模型对可观测行为施加的限制，并介绍如何检验行为与模型的一致性及恢复效用函数。
The standard models of consumer behavior under uncertainty are the expected utility model and the mean-variance model. As with any models involving unobservables one might well ask about the empirical content of these hypotheses: what restrictions on observed behavior do these models impose? How can one test observed behavior for consistency with these models? How can one recover the underlying utility function and forecast behavior in new situations?