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

Ya'acov Ritov and Wolfgang Härdle

No 2007-024, SFB 649 Discussion Papers from Humboldt University Berlin, Collaborative Research Center 649: Economic Risk

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.

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)
Date: 2007
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