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Title:From animal baits to investors' preference: estimating and demixing of the weight function in semiparametric models for biased samples PDF Logo
Authors:Ritov, Ya'acov
Härdle, Wolfgang Karl
Issue Date:2007
Series/Report no.:SFB 649 discussion paper 2007,024
Abstract: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 individual utility functions in the DAX market.
Subjects:Mixture distribution
Inverse problem
Risk aversion
Exponential mixture
Empirical pricing kernel
DAX
Market utility function
JEL:C10
C14
D01
D81
Document Type:Working Paper
Appears in Collections:SFB 649 Discussion Papers, HU Berlin

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