From Animal Baits to Investors’ Preference: Estimating and Demixing of the Weight Function in Semiparametric Models for Biased Samples

Ritov, Ya'acov and Wolfgang Karl Härdle

No SFB649DP2007-024, SFB 649 Discussion Papers from Humboldt University, Collaborative Research Center 649

Abstract: We consider two semiparametric models for the weight function in a biased 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.

Keywords: Mixture distribution; Inverse problem; Risk aversion; Exponential mixture; Empirical pricing kernel; DAX; Market utility function. (search for similar items in EconPapers)
JEL-codes: C10 C14 D01 D81 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ecm and nep-upt
Date: 2007-05
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