Empirical Pricing Kernels and Investor Preferences
2007/07/03
研討會日期 : 2007-07-03
時間 : 17:00
主講人 : Prof. Wolfgang Hardle
地點 : B棟110室
演講者簡介 : Prof. Wolfgang Hardle為Doctorate at University Heidelberg (1982) 。
現為德國 Humboldt 大學統計系教授及Center for Applied Statistics and Economics (CASE) 研究中心主任，乃當今國際著名之應用統計學者。
Prof. Hardle之研究專長為統計方法於經濟與財務分析之運用。
演講摘要 : 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 reproduced by adopting the hypothesis of heterogeneous individual investors whose utility functions have a switching point between bullish and bearish attitudes. The inverse problem of finding the distribution of individual switching points is formulated in the space of stock returns by discretization as a quadratic optimization problem. The resulting distributions vary over time and correspond to different market regimes.
