A Determination of Empirical Utility Function on the US Stock Market

Student: Skatov Sergey

Supervisor: Nick Korzhenevsky

Faculty: Faculty of World Economy and International Affairs

Educational Programme: World Economy (Master)

Final Grade: 8

Year of Graduation: 2016

This study is logicall follow up of previous researches where we used equton of Jens Jackwerth in order to find empiricall utility function with given properties, which will differ from traditional utility functions described in scientifical researches. In this study we looked at different ways of obtaining empirical utilty function which is natural for stock market, where took in consideration previous methods and errors, which could not give any sufficient result due to the disadvantages of existing mathematical instruments. Key words: utility function, Daniel Kahneman, Amos Tverski, Jens Jackwerth, Stephen Figlewski, risk-neutral distribution, prospect theory

Full text (added May 16, 2016)

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