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2007-04-04Buch DOI: 10.18452/4036
Empirical Pricing Kernels and Investor Preferences
dc.contributor.authorDetlefsen, Kai
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorMoro, Rouslan
dc.date.accessioned2017-06-15T23:24:04Z
dc.date.available2017-06-15T23:24:04Z
dc.date.created2007-04-11
dc.date.issued2007-04-04
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/4688
dc.description.abstractThis paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is reproduced by adopting the hypothesis of heterogeneous individual investors whose utility functions have a switching point between bullish and bearish attitudes. The inverse problem of finding the distribution of individual switching points is formulated in the space of stock returns by discretization as a quadratic optimization problem. The resulting distributions vary over time and correspond to different market regimes.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectHeston modeleng
dc.subjectUtility functioneng
dc.subjectPricing Kerneleng
dc.subjectBehavioral Financeeng
dc.subjectRisk Aversioneng
dc.subjectRisk Proclivityeng
dc.subject.ddc330 Wirtschaft
dc.titleEmpirical Pricing Kernels and Investor Preferences
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-10076652
dc.identifier.doihttp://dx.doi.org/10.18452/4036
dc.subject.dnb17 Wirtschaft
local.edoc.container-titleSonderforschungsbereich 649: Ökonomisches Risiko
local.edoc.pages37
local.edoc.type-nameBuch
local.edoc.container-typeseries
local.edoc.container-type-nameSchriftenreihe
local.edoc.container-volume2007
local.edoc.container-issue17
local.edoc.container-year2007
local.edoc.container-erstkatid2195055-6

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