Empirical pricing kernels and investor preferences

Arbeitspapier

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.

Angaben zum Objekt

• Sprache: Englisch

Verweise und Beziehungen

• Erschienen in: Series: SFB 649 Discussion Paper ; No. 2007,017

Klassifikation und Themen

• Klassifikation: Wirtschaft ; Asset Pricing; Trading Volume; Bond Interest Rates ; Contingent Pricing; Futures Pricing; option pricing ; Econometric Modeling: General
• Thema: Utility function ; pricing kernel ; behvioral finance , risl aversion ; risk proclivity ; Heston model ; Anlageverhalten ; Risikoaversion ; Präferenztheorie ; Börsenkurs ; Stochastischer Prozess ; Volatilität ; Schätzung ; Deutschland

Beteiligte, Orts- und Zeitangaben

• Ereignis: Geistige Schöpfung
• (wer): Detlefsen, Kai ; Härdle, Wolfgang Karl ; Moro, Rouslan A.
• Ereignis: Veröffentlichung
• (wer): Humboldt University of Berlin, Collaborative Research Center 649 - Economic Risk
• (wo): Berlin
• (wann): 2007

Weitere Informationen

• Handle: http://hdl.handle.net/10419/25189
• Letzte Aktualisierung: 10.03.2025, 11:44 MEZ