Polkovnichenko, Valery; Zhao, Feng - In: Journal of Financial Economics 107 (2013) 3, pp. 580-609
The empirical pricing kernels estimated from index options are non-monotone (Rosenberg and Engle, 2002; Bakshi, Madan, and Panayotov, 2010) and the corresponding risk-aversion functions can be negative (Aït-Sahalia and Lo, 2000; Jackwerth, 2000). We show theoretically that these and several other...
