Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact …

Supported by several recent investigations the empirical pricing kernel paradox might be considered as a stylized fact …¨ardle†, Volker Kr¨atschmer‡, Rouslan A. Moro§. Abstract Supported by several recent investigations the empirical pricing kernel … Berlin), Mohrenstr. 58, 10117 Berlin; e-mail: moro@diw.de. 1 1 Introduction The empirical pricing kernel paradox refers to …

information set for the estimation of the empirical pricing kernel and, more in general, for the validity of the fundamental … nullsets thus distorting the investor's risk premium. It follows that the relative empirical pricing kernel is no longer a true …

fundamental economic concept of risk aversion by the empirical pricing kernel. …

problem. Risk aversion. Ex- ponential mixture. Empirical pricing kernel. DAX. Market utility function. AMS subject … on the empirical pricing kernel (EPK). See Detlefsen, H¨ardle and Moro (2007) (hereafter DHM). The EPK describes the …

We propose a new methodology to estimate the empirical pricing kernel implied from option data. In contrast to most of … approaches introduced in the empirical pricing kernel literature. …