Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/25189 
Kompletter Metadatensatz
DublinCore-FeldWertSprache
dc.contributor.authorDetlefsen, Kaien
dc.contributor.authorHärdle, Wolfgang Karlen
dc.contributor.authorMoro, Rouslan A.en
dc.date.accessioned2008-02-19-
dc.date.accessioned2009-07-23T14:44:39Z-
dc.date.available2009-07-23T14:44:39Z-
dc.date.issued2007-
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
dc.language.isoengen
dc.publisher|aHumboldt University of Berlin, Collaborative Research Center 649 - Economic Risk |cBerlinen
dc.relation.ispartofseries|aSFB 649 Discussion Paper |x2007,017en
dc.subject.jelG12en
dc.subject.jelG13en
dc.subject.jelC50en
dc.subject.ddc330en
dc.subject.keywordUtility functionen
dc.subject.keywordpricing kernelen
dc.subject.keywordbehvioral finance , risl aversionen
dc.subject.keywordrisk proclivityen
dc.subject.keywordHeston modelen
dc.subject.stwAnlageverhaltenen
dc.subject.stwRisikoaversionen
dc.subject.stwPräferenztheorieen
dc.subject.stwBörsenkursen
dc.subject.stwStochastischer Prozessen
dc.subject.stwVolatilitäten
dc.subject.stwSchätzungen
dc.subject.stwDeutschlanden
dc.titleEmpirical pricing kernels and investor preferences-
dc.type|aWorking Paperen
dc.identifier.ppn558532403en
dc.rightshttp://www.econstor.eu/dspace/Nutzungsbedingungenen

Datei(en):
Datei
Größe
462.71 kB





Publikationen in EconStor sind urheberrechtlich geschützt.