Abstract: We consider a semiparametric model for the weight function in a biased sample model. The object of our interest parametrizes the weight function, and it is non-Euclidean. The model discussed is motivated by the estimation of the mixing distribution of individual utility functions in the DAX market. We discuss the estimation rate of different functionals of the weight functions.
Key words and phrases: Empirical pricing kernel, exponential mixture, inverse problem, mixture distribution, risk aversion.