Reference-dependent preferences and the empirical pricing kernel puzzle

DOI10.1093/ROF/RFV062MaRDI QIDQ4555636zbMATH OpenOpenAlexFDO

Authors Maria Grith, Volker Krätschmer, Wolfgang K. Härdle

Publication date 20 November 2018

Published in Review of Finance (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1093/rof/rfv062

zbMATH Keywords

option pricing kernelreference-dependent preferencesvolatility risk premium

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Derivative securities (option pricing, hedging, etc.) (91G20)

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• The pricing kernel puzzle: survey and outlook
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• Option market trading activity and the estimation of the pricing kernel: a Bayesian approach
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• Pricing kernels, market utility functions and investor preferences
• Portfolio Optimization within a Wasserstein Ball
• Volatility-dependent probability weighting and the dynamics of the pricing kernel puzzle
• Estimating a conditional density ratio model for asset returns and option demand

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