Search Results - subject:"Market utility function"

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

Ritov, Ya'acov; Härdle, Wolfgang Karl - 2007

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...

Persistent link: https://www.econbiz.de/10010274127

From Animal Baits to Investors’ Preference: Estimating and Demixing of the Weight Function in Semiparametric Models for Biased Samples

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 …

Persistent link: https://www.econbiz.de/10005652736