@techreport{Detlefsen2007Empirical,
abstract = {This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is reproduced by adopting the hypothesis of heterogeneous individual investors whose utility functions have a switching point between bullish and bearish attitudes. The inverse problem of finding the distribution of individual switching points is formulated in the space of stock returns by discretization as a quadratic optimization problem. The resulting distributions vary over time and correspond to different market regimes.},
address = {Berlin},
author = {Kai Detlefsen and Wolfgang Karl H\"{a}rdle and Rouslan A. Moro},
copyright = {http://www.econstor.eu/dspace/Nutzungsbedingungen},
keywords = {G12; G13; C50; 330; Utility function; pricing kernel; behvioral finance , risl aversion; risk proclivity; Heston model; Anlageverhalten; Risikoaversion; Pr\"{a}ferenztheorie; B\"{o}rsenkurs; Stochastischer Prozess; Volatilit\"{a}t; Sch\"{a}tzung; Deutschland},
language = {eng},
number = {2007,017},
publisher = {SFB 649, Economic Risk},
title = {Empirical pricing kernels and investor preferences},
type = {SFB 649 discussion paper},
url = {http://hdl.handle.net/10419/25189},
year = {2007}
}
