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2013-05-06Buch DOI: 10.18452/4463
Reference Dependent Preferences and the EPK Puzzle
dc.contributor.authorGrith, Maria
dc.contributor.authorHärdle, Wolfgang Karl
dc.contributor.authorKrätschmer, Volker
dc.date.accessioned2017-06-16T00:51:01Z
dc.date.available2017-06-16T00:51:01Z
dc.date.created2013-08-01
dc.date.issued2013-05-06
dc.date.submitted2013-05-06
dc.identifier.issn1860-5664
dc.identifier.urihttp://edoc.hu-berlin.de/18452/5115
dc.description.abstractSupported by several recent investigations, the empirical pricing kernel (EPK) puzzle might be considered a stylized fact. Based on an economic model with state dependent preferences for the financial investors, we want to emphasize a microeconomic view that succeeds in explaining the puzzle. We retain the expected utility framework in a one period model and illustrate the case when the state is defined with respect to a reference point. We further investigate how the model relates the shape of the EPK to the economic conditions.eng
dc.language.isoeng
dc.publisherHumboldt-Universität zu Berlin, Wirtschaftswissenschaftliche Fakultät
dc.rights.urihttp://rightsstatements.org/vocab/InC/1.0/
dc.subjectPricing kerneleng
dc.subjectaggregate agenteng
dc.subjectempirical pricing kerneleng
dc.subjectEPK puzzleeng
dc.subjectstate dependenteng
dc.subject.ddc310 Statistik
dc.subject.ddc330 Wirtschaft
dc.titleReference Dependent Preferences and the EPK Puzzle
dc.typebook
dc.identifier.urnurn:nbn:de:kobv:11-100211270
dc.identifier.doihttp://dx.doi.org/10.18452/4463
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-volume2013
local.edoc.container-issue23
local.edoc.container-year2013
local.edoc.container-erstkatid2195055-6

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