Empirical pricing kernels
نویسندگان
چکیده
منابع مشابه
Empirical Pricing Kernels and Investor Preferences
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 ...
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This paper estimates and tests consumption-based pricing kernels used in common equilibrium interest rate term structure models. In contrast to previous papers that use return orthogonality conditions, estimation in this paper is accomplished using moment conditions from a consumption-based option pricing equation and market prices of interest rate options. This methodology is more sensitive to...
متن کاملTesting Monotonicity of Pricing Kernels
In this master thesis a mechanism to test mononicity of empirical pricing kernels (EPK) is presented. By testing monotonicity of pricing kernel we can determine whether utility function is concave or not. Strictly decreasing pricing kernel corresponds to concave utility function while non-decreasing EPK means that utility function contains some non-concave regions. Risk averse behavior is usual...
متن کاملPricing Kernels and Stochastic Discount Factors∗
In this entry we characterize pricing kernels or stochastic discount factors that are used to represent valuation operators in dynamic stochastic economies. A kernel is commonlyused mathematical term used to represent an operator. The term stochastic discount factor extends concepts from economics and finance to include adjustments for risk. As we will see, there is a tight connection between t...
متن کاملOn Pricing Kernels and Dynamic Portfolios
We investigate the structure of the pricing kernels in a general dynamic investment setting by making use of their duality with the self financing portfolios. We generalize the variance bound on the intertemporal marginal rate of substitution introduced in Hansen and Jagannathan (1991) along two dimensions, first by looking at the variance of the pricing kernels over several trading periods, an...
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ژورنال
عنوان ژورنال: Journal of Financial Economics
سال: 2002
ISSN: 0304-405X
DOI: 10.1016/s0304-405x(02)00128-9