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

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.

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Year of publication:	2007
Authors:	Ritov, Ya'acov ; Härdle, Wolfgang Karl
Publisher:	Berlin : Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
Subject:	Nichtparametrisches Verfahren \| Stichprobenverfahren \| Bias \| Anlageverhalten \| Präferenztheorie \| Risikoaversion \| Theorie \| Deutschland \| Mixture distribution \| Inverse problem \| Risk aversion \| Exponential mixture \| Empirical pricing kernel \| DAX \| Market utility function

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Series:	SFB 649 Discussion Paper ; 2007-024
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	558539165 [GVK] hdl:10419/25196 [Handle] RePEc:zbw:sfb649:sfb649dp2007-024 [RePEc]
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:	EconStor

Persistent link: https://ebvufind01.dmz1.zbw.eu/10010274127