Golubev, Yuri (contributor); Härdle, Wolfgang (contributor) - 2008
level in 2002 and at 10% significance level in 2000. -- Risk Aversion ; Pricing kernel … codes: G12, C12
Keywords: Risk Aversion, Pricing kernel
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1 Introduction
The behaviour of market agents has always been in …. (2002)
observed a region of negative absolute risk aversion for orthogonal polynomial pricing ker-
nel. Detlefsen, et al …