We review recent developments in the econometrics of shape restrictions and their role in
applied work. Our objectives are threefold. First, we aim to emphasize the diversity of …

It has been a while since the literature on the pricing kernel puzzle was summarized in
Jackwerth (Option-implied risk-neutral distributions and risk-aversion, The Research …

Shape restrictions have played a central role in economics as both testable implications of
theory and sufficient conditions for obtaining informative counterfactual predictions. In this …

A large literature finds evidence that pricing kernels nonparametrically estimated from option
prices and historical returns are not monotonically decreasing in market index returns. We …

The pricing kernel puzzle concerns the locally increasing empirical pricing kernel, which is
inconsistent with a risk-averse representative investor in a single period, single state …

This monograph pulls together in an integrated framework the entire theory of option pricing
under stochastic dominance, first in a frictionless world and then in the presence of …

In this article, we propose a new nonparametric density estimator derived from the theory of
frames and Riesz bases. In particular, we propose the so-called bi-orthogonal density …

In model‐free out‐of‐sample tests, we find that the optimal portfolio of a utility maximizing
investor trading in the S&P500 Index, cash, and index options bought at ask and written at …

Evidence shows that the stochastic discount factor (SDF) is not always a downward-slo**
function of S&P 500 returns when estimated using options data. In contrast, our results …

Recent empirical studies have found evidence of nonmonotonicity in the pricing kernels for a
variety of market indices. This phenomenon is known as the pricing kernel puzzle. The …