Ya'acov Ritov; Härdle, Wolfgang - Sonderforschungsbereich 649: Ökonomisches Risiko, … - 2007
problem. Risk aversion. Ex-
ponential mixture. Empirical pricing kernel. DAX. Market utility function.
AMS subject … is theoretically derived to be given by 1=U0(x), where
U is the market utility function, and prime denotes derivative …