Risiko verbinden ließe, wenn man nur die Finanzprodukte entsprechend gestaltete, hat sich diese Wahnvorstellung … Risikos angesprochen. -- pricing kernels ; risk aversion ; risk neutral density …

Pricing kernels play a major role in quantifying risk aversion and investors' preferences. Several empirical studies …. -- Pricing kernels ; risk aversion ; risk neutral density …

Pricing kernels implicit in option prices play a key role in assessing the risk aversion over equity returns. We deal … with nonparametric estimation of the pricing kernel (Empirical Pricing Kernel) given by the ratio of the risk … estimated nonparametrically too. In this framework, we develop the asymptotic distribution theory of the EPK in the L1 sense …

This chapter deals with nonparametric estimation of the risk neutral density. We present three different approaches … of the risk neutral density. The first estimator is a kernel smoother of the second derivative of call prices, while the … we assume the existence of a stochastic discount factor (pricing kernel) which establishes the risk neutral density …

; Inverse problem ; Risk aversion ; Exponential mixture ; Empirical pricing kernel ; DAX ; Market utility function …

The behaviour of market agents has always been extensively covered in the literature. Risk averse behaviour, described … level in 2002 and at 10% significance level in 2000. -- Risk Aversion ; Pricing kernel …

quantile and expectile estimation, a platform for risk assessment is provided. ES and implications for tail events under … different distributional scenarios are investigated, particularly we discuss the implications of increased tail risk for mixture … can be successfully estimated on a daily basis using a one-year time horizon across different risk levels. …

. Based on these active risk factors, an adjustment for intertemporal dependency is made. The authors extend TEDAS methodology … to three gestalts differing in allocation weights’ determination: a Cornish-Fisher Value-at-Risk minimization, Markowitz …