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Statistica Sinica 20 (2010), 771-785





INVESTORS' PREFERENCE: ESTIMATING AND

DEMIXING OF THE WEIGHT FUNCTION IN

SEMIPARAMETRIC MODELS FOR BIASED SAMPLES


Ya'acov Ritov and Wolfgang K. Härdle


The Hebrew University of Jerusalem and Humboldt-Universität zu Berlin


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.

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