Liu, Xiaoquan; Shackleton, Mark; Taylor, Stephen; Xu, … - In: Applied Economics Letters 16 (2009) 10, pp. 989-993
Empirical pricing kernels for the UK equity market are derived as the ratio between risk-neutral densities, inferred from FTSE 100 index options, and historical real-world densities, estimated from time series of the index. The kernels thus obtained are almost compatible with a risk averse...