Dynamics of risk attitudes:
Saved in:
| Main Author: | |
|---|---|
| Format: | Thesis Book |
| Language: | English |
| Published: |
2013
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| Subjects: | |
| Online Access: | Inhaltsverzeichnis |
| Physical Description: | XII, 103 S. graph. Darst. |
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Record in the Search Index
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CONTENTS
CONTENTS XII
1. INTRODUCTION 1
BIBLIOGRAPHY 4
2. NONPARAMETRIC ESTIMATION OF RISK-NEUTRAL DENSITIES 7
2.1. INTRODUCTION 7
2.2. ESTIMATION OFRND BASED ON THE SECOND DERIVATIVE 9
2.2.1. STATISTICAL PROPERTIES 12
2.2.2. SELECTION OF THE SMOOTHING PARAMETER 14
2.2.3. DIMENSION REDUCTION TECHNIQUES 17
2.2.4. APPLICATION 18
2.3. ESTIMATION OF THE RND VIA PRICING KERNEL 23
2.3.1. DIRECT ESTIMATION OF PK VIA
SERIES METHODS 24
2.3.2. ESTIMATION OF THE PDF OF
ST
26
2.3.3. CHOICE OF THE TUNING PARAMETERS 27
2.3.4. STATISTICAL PROPERTIES 29
2.3.5. IMPLEMENTATION 30
2.4. CONCLUSIONS 30
BIBLIOGRAPHY 32
3. SHAPE INVARIANT MODELLING OF PRICING KERNELS AND RISK AVERSION 35
3.1. INTRODUCTION 35
3.1.1. PRICING KERNEL AND RISK AVERSION 35
3.1.2. DYNAMICS OF EMPIRICAL PRICING KERNELS 36
3.2. COMMON SHAPE MODELLING 39
3.2.1. SHAPE INVARIANT MODEL (SIM) FOR PRICING KERNEL 39
3.2.2. SIM AND BLACK-SCHOLES MODEL 40
3.2.3. IDENTIFIABILITY CONDITION FOR SIM 42
3.2.4. SIM IMPLIED RISK AVERSION AND UTILITY FUNCTION 43
3.3. FITTING SHAPE INVARIANT MODELS 45
3.3.1. ESTIMATION OF SIM 45
3.3.2. STARTING VALUES 47
3.3.3. NONLINEAR OPTIMIZATION 48
3.3.4. INITIAL ESTIMATES OF 48
XI
HTTP://D-NB.INFO/1043876324
CONTENTS
3.3.5. WORD ON ASYMPTOTICS 50
3.4. NUMERICAL STUDIES OF SIM ESTIMATION 52
3.4.1. GENERATING CURVES 53
3.4.2. ERROR SPECIFICATION 53
3.4.3. SMOOTHING PARAMETER SELECTION 54
3.4.4. RESULTS OF SIMULATION 55
3.5. REAL DATA EXAMPLE 56
3.5.1. ESTIMATION OF THE RISK NEUTRAL DENSITY Q 56
3.5.2. ESTIMATION OF THE HISTORICAL DENSITY P 57
3.5.3. SMOOTHING PARAMETER SELECTION 57
3.5.4. ESTIMATION OFEPK.ARA AND UTILITY FUNCTIONS 59
3.5.5. RELATION TO MACRO ECONOMIC VARIABLES 60
BIBLIOGRAPHY 62
4. REFERENCE DEPENDENT PREFERENCES AND THE EPK PUZZLE 65
4.1. INTRODUCTION 65
4.2. FINANCIAL MARKET AND PREFERENCES 69
4.3. A MICROECONOMIC VIEW ON THE EPK PUZZLE 70
4.3.1. STATE DEPENDENT PREFERENCES 70
4.3.2. REFERENCE DEPENDENT PREFERENCES 72
4.3.3. REFERENCE POINTS AND PRICING KERNEL 74
4.4. INVESTORS' PORTFOLIO CHOICE 77
4.5. SIMULATION STUDY 79
4.5.1. COMPARATIVE STATICS 79
4.5.2. IDENTIFIABILITY 80
4.6. REAL DATA ANALYSIS 82
4.7. CONCLUSIONS 84
A. APPENDIX 85
B. APPENDIX 87
C. APPENDIX 90
BIBLIOGRAPHY 93
5. SUMMARY AND OUTLOOK 97
5.1. SUMMARY 97
5.2. OUTLOOK 98
LIST OF FIGURES 102
LIST OF TABLES 103 |
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| author | Grith, Maria 1981- |
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| dewey-full | 332.632042 |
| dewey-hundreds | 300 - Social sciences |
| dewey-ones | 332 - Financial economics |
| dewey-raw | 332.632042 |
| dewey-search | 332.632042 |
| dewey-sort | 3332.632042 |
| dewey-tens | 330 - Economics |
| discipline | Wirtschaftswissenschaften |
| format | Thesis Book |
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| spelling | Grith, Maria 1981- Verfasser (DE-588)1042853592 aut Dynamics of risk attitudes von Maria Grith 2013 XII, 103 S. graph. Darst. txt rdacontent n rdamedia nc rdacarrier Berlin, Humboldt-Univ., Diss., 2013 Risikoverhalten (DE-588)4050133-4 gnd rswk-swf Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd rswk-swf Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd rswk-swf (DE-588)4113937-9 Hochschulschrift gnd-content Arbitrage-Pricing-Theorie (DE-588)4112584-8 s Capital-Asset-Pricing-Modell (DE-588)4121078-5 s Risikoverhalten (DE-588)4050133-4 s 1\p DE-604 Reproduziert als Grith, Maria Dynamics of risk attitudes Berlin : MIK-Center GmbH, 2013 2 Mikrofiches (DE-604)BV041810014 DNB Datenaustausch application/pdf http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026803306&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA Inhaltsverzeichnis 1\p cgwrk 20201028 DE-101 https://d-nb.info/provenance/plan#cgwrk |
| spellingShingle | Grith, Maria 1981- Dynamics of risk attitudes Risikoverhalten (DE-588)4050133-4 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| subject_GND | (DE-588)4050133-4 (DE-588)4112584-8 (DE-588)4121078-5 (DE-588)4113937-9 |
| title | Dynamics of risk attitudes |
| title_auth | Dynamics of risk attitudes |
| title_exact_search | Dynamics of risk attitudes |
| title_full | Dynamics of risk attitudes von Maria Grith |
| title_fullStr | Dynamics of risk attitudes von Maria Grith |
| title_full_unstemmed | Dynamics of risk attitudes von Maria Grith |
| title_short | Dynamics of risk attitudes |
| title_sort | dynamics of risk attitudes |
| topic | Risikoverhalten (DE-588)4050133-4 gnd Arbitrage-Pricing-Theorie (DE-588)4112584-8 gnd Capital-Asset-Pricing-Modell (DE-588)4121078-5 gnd |
| topic_facet | Risikoverhalten Arbitrage-Pricing-Theorie Capital-Asset-Pricing-Modell Hochschulschrift |
| url | http://bvbr.bib-bvb.de:8991/F?func=service&doc_library=BVB01&local_base=BVB01&doc_number=026803306&sequence=000001&line_number=0001&func_code=DB_RECORDS&service_type=MEDIA |
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