  We pursue an inverse approach to utility theory and consumption & investment
problems. Instead of specifying an agent's utility function and deriving her
actions, we assume we observe her actions (i.e. her consumption and investment
strategies) and ask if it is possible to derive a utility function for which
the observed behaviour is optimal. We work in continuous time both in a
deterministic and stochastic setting. In the deterministic setup, we find that
there are infinitely many utility functions generating a given consumption
pattern. In the stochastic setting of the Black-Scholes complete market it
turns out that the consumption and investment strategies have to satisfy a
consistency condition (PDE) if they are to come from a classical utility
maximisation problem. We show further that important characteristics of the
agent such as her attitude towards risk (e.g. DARA) can be deduced directly
from her consumption/investment choices.
