EconStor >
Humboldt-Universität zu Berlin >
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
  

Full metadata record

DC FieldValueLanguage
dc.contributor.authorDetlefsen, Kaien_US
dc.contributor.authorHärdle, Wolfgang Karlen_US
dc.contributor.authorMoro, Rouslan A.en_US
dc.date.accessioned2008-02-19en_US
dc.date.accessioned2009-07-23T14:44:39Z-
dc.date.available2009-07-23T14:44:39Z-
dc.date.issued2007en_US
dc.identifier.urihttp://hdl.handle.net/10419/25189-
dc.description.abstractThis 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.isoengen_US
dc.publisherSFB 649, Economic Risk Berlinen_US
dc.relation.ispartofseriesSFB 649 discussion paper 2007,017en_US
dc.subject.jelG12en_US
dc.subject.jelG13en_US
dc.subject.jelC50en_US
dc.subject.ddc330en_US
dc.subject.keywordUtility functionen_US
dc.subject.keywordpricing kernelen_US
dc.subject.keywordbehvioral finance , risl aversionen_US
dc.subject.keywordrisk proclivityen_US
dc.subject.keywordHeston modelen_US
dc.subject.stwAnlageverhaltenen_US
dc.subject.stwRisikoaversionen_US
dc.subject.stwPräferenztheorieen_US
dc.subject.stwBörsenkursen_US
dc.subject.stwStochastischer Prozessen_US
dc.subject.stwVolatilitäten_US
dc.subject.stwSchätzungen_US
dc.subject.stwDeutschlanden_US
dc.titleEmpirical pricing kernels and investor preferencesen_US
dc.typeWorking Paperen_US
dc.identifier.ppn558532403en_US
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungen-
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

Files in This Item:
File Description SizeFormat
558532403.PDF462.71 kBAdobe PDF
No. of Downloads: Counter Stats
Show simple item record
Download bibliographical data as: BibTeX

Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.