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Semiparametric structure guided by prior knowledge with applications in economics
Scholz, Michael - 2011
by directly applying economic theory or by examining simple parametric models to identify the coarse features of the …
Persistent link: https://www.econbiz.de/10010238701
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Market clearing, utility functions, and securities prices
Raimondo, Roberto C. - In: Economic theory : official journal of the Society for … 25 (2005) 2, pp. 265-285
Persistent link: https://www.econbiz.de/10002595487
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A model for a large investor trading at market indifference prices : I: single-period case
Bank, Peter; Kramkov, Dmitry - In: Finance and stochastics 19 (2015) 2, pp. 449-472
Persistent link: https://www.econbiz.de/10011418186
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A suggestion for simplifying the theory of asset prices
Cesari, Riccardo; D'Adda, Carlo - In: Markets, money and capital : Hicksian economics for the …, (pp. 252-274). 2008
Persistent link: https://www.econbiz.de/10003827149
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Stock price dynamics of China : what do the asset markets tell us about the Chinese utility function?
Kwan, Yum-keung; Dong, Jinyue - In: Emerging markets finance & trade : a journal of the … 50 (2014), pp. 77-108
Persistent link: https://www.econbiz.de/10010465138
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Equilibrium analysis of portfolio insurance
Grossman, Sanford J. - In: The journal of finance : the journal of the American … 51 (1996) 4, pp. 1379-1403
Persistent link: https://www.econbiz.de/10001209029
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What happened to the utility functions? : Imprecise expectations of security prices
Kane, Stephen A. - In: International review of financial analysis 8 (1999) 2, pp. 165-175
Persistent link: https://www.econbiz.de/10001495514
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A numerical approach to solve consumption-portfolio problems with predictability in income, stock prices, and house prices
Weiss, Farina - In: Mathematical methods of operations research : ZOR 93 (2021) 1, pp. 33-81
Persistent link: https://www.econbiz.de/10012488877
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Mean-variance portfolio selection in presence of infrequently traded stocks
Castellano, Rosella; Cerqueti, Roy - In: European journal of operational research : EJOR 234 (2014) 2, pp. 442-449
Persistent link: https://www.econbiz.de/10010356733
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Empirical pricing kernels and investor preferences
Detlefsen, Kai; Härdle, Wolfgang Karl; Moro, Rouslan A. - 2007
This paper analyzes empirical market utility functions and pricing kernels derived from the DAX and DAX option data for three market regimes. A consistent parametric framework of stochastic volatility is used. All empirical market utility functions show a region of risk proclivity that is...
Persistent link: https://www.econbiz.de/10010275864