Investors' preference: Estimating and demixing of the weight function in semiparametric models for biased samples

Ya'acov Ritov*, Wolfgang K. Härdle

*Corresponding author for this work

Research output: Contribution to journalArticlepeer-review

1 Scopus citations

Abstract

We consider a semiparametric model for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is non-Euclidean. The model discussed is motivated by the estimation of the mixing distribution of individual utility functions in the DAX market. We discuss the estimation rate of different functionals of the weight functions.

Original languageEnglish
Pages (from-to)771-785
Number of pages15
JournalStatistica Sinica
Volume20
Issue number2
StatePublished - Apr 2010

Keywords

  • Empirical pricing kernel
  • Exponential mixture
  • Inverse problem
  • Mixture distribution
  • Risk aversion

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