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Kompletter Metadatensatz
DublinCore-Feld | Wert | Sprache |
---|---|---|
dc.contributor.author | Detlefsen, Kai | en |
dc.contributor.author | Härdle, Wolfgang Karl | en |
dc.contributor.author | Moro, Rouslan A. | en |
dc.date.accessioned | 2008-02-19 | - |
dc.date.accessioned | 2009-07-23T14:44:39Z | - |
dc.date.available | 2009-07-23T14:44:39Z | - |
dc.date.issued | 2007 | - |
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 |
dc.language.iso | eng | en |
dc.publisher | |aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlin | en |
dc.relation.ispartofseries | |aSFB 649 Discussion Paper |x2007,017 | en |
dc.subject.jel | G12 | en |
dc.subject.jel | G13 | en |
dc.subject.jel | C50 | en |
dc.subject.ddc | 330 | en |
dc.subject.keyword | Utility function | en |
dc.subject.keyword | pricing kernel | en |
dc.subject.keyword | behvioral finance , risl aversion | en |
dc.subject.keyword | risk proclivity | en |
dc.subject.keyword | Heston model | en |
dc.subject.stw | Anlageverhalten | en |
dc.subject.stw | Risikoaversion | en |
dc.subject.stw | Präferenztheorie | en |
dc.subject.stw | Börsenkurs | en |
dc.subject.stw | Stochastischer Prozess | en |
dc.subject.stw | Volatilität | en |
dc.subject.stw | Schätzung | en |
dc.subject.stw | Deutschland | en |
dc.title | Empirical pricing kernels and investor preferences | - |
dc.type | |aWorking Paper | en |
dc.identifier.ppn | 558532403 | en |
dc.rights | http://www.econstor.eu/dspace/Nutzungsbedingungen | en |
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