From Animal Baits to Investors´ Preference: Estimating and Demixingof the Weight Function in Semiparametric Models for Biased Samples

We consider two semiparametric models for the weight function in a biased 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:	2007-05-01
Authors:	Ritov, Ya’acov ; Härdle, Wolfgang
Institutions:	Sonderforschungsbereich Ökonomisches Risiko <Berlin>
Subject:	Preisbildung \| pricing \| Deutscher Aktienindex \| Risikoaversion

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Extent:	458752 bytes 25 p. application/pdf
Series:	Sonderforschungsbereich 649: Ökonomisches Risiko - Diskussionspapiere SFB 649 Discussion Paper ; 2007-024
Type of publication:	Book / Working Paper
Language:	English
Classification:	C10 - Econometric and Statistical Methods: General. General ; C14 - Semiparametric and Nonparametric Methods ; D81 - Criteria for Decision-Making under Risk and Uncertainty ; Corporate finance and investment policy. Other aspects ; Individual Working Papers, Preprints ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005861031