# Estimating investor's utility from the trades data

Is it possible to infer investor's utility function from the set of decisions she is making?

Let's assume for simplicity that the market consists of a single traded asset whose return distribution is stationary and known to the agents. We are also given a set of trades made by a particular investor in this market. We also know the wealth of an investor. How do we estimate the investor's utility function from this data?

-
If you liked my answer you could upvote and accept it - Thank you :-) –  vonjd Jul 16 '13 at 16:51