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Sonderforschungsbereich 649: Ökonomisches Risiko, Humboldt-Universität Berlin >
SFB 649 Discussion Papers, HU Berlin >
Please use this identifier to cite or link to this item:
http://hdl.handle.net/10419/25189
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Full metadata record
| DC Field | | Value | | Language |
| dc.contributor.author | | Detlefsen, Kai | | en_US |
| dc.contributor.author | | Härdle, Wolfgang Karl | | en_US |
| dc.contributor.author | | Moro, Rouslan A. | | en_US |
| dc.date.accessioned | | 2008-02-19 | | en_US |
| dc.date.accessioned | | 2009-07-23T14:44:39Z | | - |
| dc.date.available | | 2009-07-23T14:44:39Z | | - |
| dc.date.issued | | 2007 | | en_US |
| dc.identifier.uri | | http://hdl.handle.net/10419/25189 | | - |
| dc.description.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. | | en_US |
| dc.language.iso | | eng | | en_US |
| dc.publisher | | SFB 649, Economic Risk Berlin | | en_US |
| dc.relation.ispartofseries | | SFB 649 discussion paper 2007,017 | | en_US |
| dc.subject.jel | | G12 | | en_US |
| dc.subject.jel | | G13 | | en_US |
| dc.subject.jel | | C50 | | en_US |
| dc.subject.ddc | | 330 | | en_US |
| dc.subject.keyword | | Utility function | | en_US |
| dc.subject.keyword | | pricing kernel | | en_US |
| dc.subject.keyword | | behvioral finance , risl aversion | | en_US |
| dc.subject.keyword | | risk proclivity | | en_US |
| dc.subject.keyword | | Heston model | | en_US |
| dc.subject.stw | | Anlageverhalten | | en_US |
| dc.subject.stw | | Risikoaversion | | en_US |
| dc.subject.stw | | Präferenztheorie | | en_US |
| dc.subject.stw | | Börsenkurs | | en_US |
| dc.subject.stw | | Stochastischer Prozess | | en_US |
| dc.subject.stw | | Volatilität | | en_US |
| dc.subject.stw | | Schätzung | | en_US |
| dc.subject.stw | | Deutschland | | en_US |
| dc.title | | Empirical pricing kernels and investor preferences | | en_US |
| dc.type | | Working Paper | | en_US |
| dc.identifier.ppn | | 558532403 | | en_US |
| dc.rights | | http://www.econstor.eu/dspace/Nutzungsbedingungen | | - |
| Appears in Collections: | | SFB 649 Discussion Papers, HU Berlin
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