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From animal baits to investors' preference: Estimating and demixing of the weight function in semiparametric models for biased samples

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  • Ritov, Ya'acov
  • Härdle, Wolfgang Karl

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.

Suggested Citation

  • Ritov, Ya'acov & Härdle, Wolfgang Karl, 2007. "From animal baits to investors' preference: Estimating and demixing of the weight function in semiparametric models for biased samples," SFB 649 Discussion Papers 2007-024, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    • Handle: RePEc:zbw:sfb649:sfb649dp2007-024
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    References listed on IDEAS

    as
    1. Ait-Sahalia, Yacine & Lo, Andrew W., 2000. "Nonparametric risk management and implied risk aversion," Journal of Econometrics, Elsevier, vol. 94(1-2), pages 9-51.
    2. Detlefsen, Kai & Härdle, Wolfgang Karl & Moro, Rouslan A., 2007. "Empirical pricing kernels and investor preferences," SFB 649 Discussion Papers 2007-017, Humboldt University Berlin, Collaborative Research Center 649: Economic Risk.
    3. Milton Friedman & L. J. Savage, 1948. "The Utility Analysis of Choices Involving Risk," Journal of Political Economy, University of Chicago Press, vol. 56(4), pages 279-279.
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    More about this item

    Keywords

    Mixture distribution; Inverse problem; Risk aversion; Exponential mixture; Empirical pricing kernel; DAX; Market utility function;
    All these keywords.

    JEL classification:

    • C10 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - General
    • C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
    • D01 - Microeconomics - - General - - - Microeconomic Behavior: Underlying Principles
    • D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty

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