From animal baits to investors' preference : estimating and demixing of the weight function in semiparametric models for biased samples

Ya'acov Ritov; Wolfgang Härdle

We consider two semiparametric models for the weight function in a bias sample model. The object of our interest parametrizes the weight function, and it is either Euclidean or non Euclidean. One of the models discussed in this paper is motivated by the estimation the mixing distribution of individual utility functions in the DAX market. -- Mixture distribution ; Inverse problem ; Risk aversion ; Exponential mixture ; Empirical pricing kernel ; DAX ; Market utility function

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Year of publication:	03 May 2007
Other Persons:	Ritov, Ya'acov (contributor) ; Härdle, Wolfgang (contributor)
Publisher:	Berlin : SFB 649, Economic Risk
Subject:	Nichtparametrisches Verfahren \| Nonparametric statistics \| Stichprobenerhebung \| Sampling \| Systematischer Fehler \| Bias \| Anlageverhalten \| Behavioural finance \| Präferenztheorie \| Theory of preferences \| Risikoaversion \| Risk aversion \| Theorie \| Theory \| Deutschland \| Germany

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Extent:	Online-Ressource, 22 S., Text graph. Darst.
Series:	SFB 649 discussion paper. - Berlin : [Verlag nicht ermittelbar], ISSN 1860-5664, ZDB-ID 2195055-6. - Vol. 2007,024
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Arbeitspapier ; Working Paper ; Graue Literatur ; Non-commercial literature
Language:	English
Notes:	Systemvoraussetzungen: Acrobat Reader
Other identifiers:	hdl:10419/25196 [Handle]
Classification:	C10 - Econometric and Statistical Methods: General. General ; C14 - Semiparametric and Nonparametric Methods ; D01 - Microeconomic Behavior: Underlying Principles ; D81 - Criteria for Decision-Making under Risk and Uncertainty
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10003633700