定价核、市场效用函数与投资者偏好

Pricing kernels, market utility functions and investor preferences

在非仿射GARCH扩散模型一致参数体系下,推导了经验定价核、市场效用函数以及投资者风险厌恶函数.基于标的资产与期权价格联合数据,建立了模型的极大似然估计方法.采用香港金融市场数据进行实证研究,结果表明:存在一个参照点,其对应于恒生指数收益率约为-12%.市场效用函数在参照点左侧为凸函数,在参照点右侧为凹函数;投资者在收益率低于参照点时表现为风险爱好,在收益率高于参照点时表现为风险厌恶.

This paper infers the empirical pricing kernels, market utility functions and investor risk aversion functions under a consistent parametric framework of non-affine GARCH diffusion model. An approach for maximum likelihood estimation of the model by using joint data on the underlying asset and option prices is developed. Using data of the Hong Kong financial market, this paper presents an empirical study. There is a reference point corresponding to Hang Seng index return of about -12%. The market utility functions is convexity on the left side of the reference point, but it is concavity on the right side of the reference point; investors act risk seeking below the reference point and risk averse above it.