Probability weighting functions obtained from Hong Kong index option market-Reference-Cited by-同舟云学术

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Probability weighting functions obtained from Hong Kong index option market

Published:2019-01-01 Issue:1 Volume:32 Page:1922-1943
ISSN:1331-677X
Container-title:Economic Research-Ekonomska Istraživanja
language:en
Short-container-title:Economic Research-Ekonomska Istraživanja

Author:

Wu Xinyu¹,Xie Haibin²,Li Xindan³

Affiliation:

1. School of Finance, Anhui University of Finance and Economics, Bengbu, China;

2. School of Banking and Finance, University of International Business and Economics, Beijing, China;

3. School of Management and Engineering, Nanjing University, Nanjing, China

Publisher

Informa UK Limited

Subject

Economics and Econometrics

Link

https://www.tandfonline.com/doi/pdf/10.1080/1331677X.2019.1638285

Reference52 articles.

1. Nonparametric risk management and implied risk aversion

2. Audrino, F. & Meier, P. (2012). Empirical pricing kernel estimation using a functional gradient descent algorithm based on splines. Working Paper, University of St. Gallen.

3. Returns of claims on the upside and the viability of U-shaped pricing kernels☆

4. Stocks as Lotteries: The Implications of Probability Weighting for Security Prices

5. Barone-Adesi, G., Mancini, L. & Shefrin, H. (2017). Estimating sentiment, risk aversion, and time preference from behavioral pricing kernel theory. Working Paper, University of Lugano.

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