Syfte: Syftet med uppsatsen är att undersöka huruvida matematiska modeller i detta fall nyckeltal används kring analys inför ett investeringsbeslut. Samt undersöka om och vilka psykologiska faktorer påverkar investeringsbeslut hos svenska aktiesparare. Metod: Studien baseras på en kvantitativ metod med en tvärsnittsdesign. För datainsamling har forskarna använt sig av enkätundersökning och analyserat samband med hjälp av Pearsons korrelations modell. Slutsats: Utifrån studiens resultat har det konstaterats att det mest använda nyckeltalet hos svenska aktiesparare är P/E tal (54%) till följd av EPS (29%). Studien visar också att en större del av svenska aktiesparare inte använder nyckeltal överhuvudtaget, och inte heller anser de vara särskilt användbara. Dessutom är svenska aktiesparare är mer riskaverta än riskbenägna. 80% av svenska aktiesparare föredrar en säker riskfri avkastning till skillnad från ett investeringsalternativ med högre risk och högre avkastning. Svenska aktiesparare pratar också med andra gällande sina investeringar vilket kan påverka investeringsbeslutet. Dessutom visar studien på att en stark majoritet litar på sin magkänsla och skulle tacka nej till ett investeringsbeslut ifall de inte “kändes rätt”. / Purpose: The purpose of this study is to explore whether mathematical models in this case financial ratios are used within an investment decision. Moreover, investigate which, if any psychological factors affect an investment decision for non-corporate Swedish investors. Method: The current study is based on a survey consisting of 238 participants shared via online platforms. Correlations within the study are based on Pearson’s correlations model. Findings: The study finds that the most used financial ratio non corporate Swedish investors (NCSS) is P/E ratio (54%) followed by EPS (29%). The study also shows that a large proportion of said investors do not use financial ratios whatsoever, nor do they deem them particularly useful. Moreover, are NCSS more risk averse than risk prone. 80% of NCSS in the study preferred a risk-free investment opportunity in contrast to an investment opportunity with higher risk and higher reward. NCSS usually converse with others regarding investments which can affect their investment decisions. Lastly the study shows that a strong majority trust their intuition and gut feeling and would decline an investment decision based on the investment “not feeling right”.

This thesis aims to fill this gap between static and dynamic risk measures. It presents a theory of dynamic risk measures based directly on classical, static risk measures. This allows for a direct connection of the static, the discrete time as well as the continuous time setting. Unlike the existing literature this approach leads to a interpretable pendant to the well-understood static risk measures. As a key concept the notion of divisible families of risk measures is introduced. These families of risk measures admit a dynamic version in continuous time. Moreover, divisibility allows the definition of the risk generator, a nonlinear extension of the classical infinitesimal generator. Based on this extension we derive a nonlinear version of Dynkins lemma as well as risk-averse Hamilton–Jacobi–Bellman equations.

An individual's behavior is a substantial part of one’s personality and is a big part in decision-making, it applies to large and small decisions in our everyday lives. An increase in the proportion of young adults in the stock market has been observed in recent years. Our world was hit by a pandemic, Covid-19 and as a result of this pandemic, a majority of countries in the world experienced financial crises and difficulties. Many analysts noticed, however, the continued increase in private investors in the stock market. The results in this study have shown that an individual's personality and personal traits are decisive factors in how an investor will behave in the stock market. The different causes and factors addressed in the study affect each respondent in different ways where some were affected more and others less. The study thus showed that it was not only one factor or cause that affects how risky an investor is, it is a combination of several factors and causes. This study has provided a new perspective for the theorists as the study took place during a pandemic. Lastly, this study has given rise to relevant questions that are presented in future research suggestions. / En individs beteende är en stor del av personligheten och är även en avgörande faktor för olika beslut som vi individer fattar, det gäller såväl stora som små beslut i vår vardag. Olika faktorer och orsaker har större påverkan i vårt beteende än vad vi kan tro, även i vårt köpbeteende på finansmarknaden när investerare tar beslut om diverse investeringar såsom aktier. Det har i synnerhet observerats en ökning av andelen unga vuxna på aktiemarknaden under de senaste åren. Vår värld drabbades av en pandemi, Covid-19 och till följd av denna pandemi upplevde majoriteten av världens länder finansiella kriser och svårigheter. Det intressanta som däremot många analytiker uppmärksammade var den fortsatta ökningen av privata investerare på aktiemarknaden, speciellt de unga vuxna. I och med den ännu pågående pandemin har det därmed inte gjorts studier och observationer om privata investerares köpbeteende under just Coronapandemin. Detta har gett upphov till att föra en kvalitativ studie om vilka orsaker och faktorer som påverkar privata investerares köpbeteende och hur pass riskaverta investerarna är baserat på dessa orsaker och faktorer och det individuella köpbeteendet. Med hjälp av teorier och tidigare forskning från området beteendeekonomi (”behavioral finance” på engelska) har denna studie, vars avsikt varit att undersöka köpbeteende och grad av riskaversion, varit möjlig. Resultaten har visat att en individs personlighet och de personliga dragen är avgörande faktorer för hur en investerare kommer att bete sig på aktiemarknaden. De olika orsakerna och faktorerna som togs upp i studien påverkar varje respondent på olika sätt där vissa påverkades mer och andra mindre. Graden av riskaversionen hos studiens respondenter gick att avgöra baserat på varje investerares övertro på sig själv, hur påverkade de blir av lättillgänglig information, stereotyper som ett företag kan påvisa samt flockbeteende. Studien visade därmed att det inte endast var en faktor eller orsak som påverkar hur pass riskavert en investerare är, det handlar om en blandning av flera faktorer och orsaker. För just denna åldersgruppen var graden av riskaversion av svagare karaktär vilket indikerar på att investerare i denna åldersgrupp inte är rädda för större risker. Denna studie har gett ett nytt perspektiv för teoretikerna då studien tagit plats under en pandemi vilket kan ha bidragit med andra resultat med tanke på den finansiella krisen som världen drabbades av. Avslutningsvis har denna studie gett upphov till relevanta frågor som presenteras under förslag på framtida forskning.

Syfte: Undersökningens syfte är att få en förståelse i vilken omfattning privata investerare beaktar utomstående faktorer vid sina investeringsbeslut på aktiemarknaden. Studien har för avsikt att undersöka om verkligheten stämmer överens med teorin, därmed om människor är rationella vid sina beslut, och vilka faktorer som styr individens beslut vid aktiehandel.  Metod: Denna undersökning är en kvantitativ tvärsnittsstudie med ett deskriptivt förhållningssätt. Undersökningen grundar sig i en genomgripande studie av litteratur följt av en enkätundersökning. Slutsats: Resultatet från undersökningen visar att psykologiska faktorer samt information har en påtaglig effekt på privatpersoners investeringsbeslut. Vidare indikerar undersökningen att många privata investerare som använder sig främst av nyckeltal vid aktieanalys samt vid investering. / Purpose: The purpose of this study is to gain an understanding of the extent to which private investors take external factors into account when making their investment decisions in the stock market. The study intends to investigate whether reality is consistent with the theory, thus whether people are rational in their decisions, and what factors govern the individual's decisions in stock trading. Method: This study is a quantitative cross-sectional study with a descriptive approach. The survey is based on a comprehensive study of literature followed by a survey.  Conclusions: The results from the survey shows that psychological factors and information have a significant effect on private investment decisions. Furthermore, the survey indicates that many private investors use key figures in stock analysis and their investments.

Cette thèse étudie l’assurabilité des risques catastrophiques sous différents angles. Le premier chapitre intéresse aux risques de très faibles probabilités. Nous montrons comment des instruments financiers hybrides, tels que les obligations catastrophes, peuvent être utilisés pour étendre le domaine d’assurabilité des risques catastrophiques. Notre application au cas du nucléaire en France révèle que, malgré des prix plus élevés pour la réassurance des événements de faibles probabilités, il est possible, et vraisemblablement souhaitable d’organiser un système d’assurance plus important que ce que prévoit la loi française. Le second chapitre s’attaque à la question du prix de la réassurance des risques de faibles probabilités. Nous montrons que les risques catastrophiques, ayant une composante systémique, donnent lieu à une prime de risque dont le montant décroit avec la probabilité de la catastrophe moins rapidement que la disposition à payer d’un assuré typique. Cela explique pourquoi les risques systémiques de faibles probabilités sont difficiles à assurer. Le troisième chapitre étudie le rôle des contrats mutuels et participatifs pour améliorer l’assurabilité des risques catastrophiques. De tels contrats permettent aux assurés d’ajuster au mieux leur demande d’assurance, en prenant en compte la dimension systémique des risques auxquels ils sont exposés. Enfin, le quatrième chapitre étudie l’utilisation d’obligations catastrophes pour assurer le risque de variations du prix des matières premières agricoles consécutives à des aléas climatiques extrêmes. En émettant une obligation catastrophe, l’entreprise qui s’approvisionne en matières premières emprunte un capital qu’elle peut conserver en cas de catastrophe, lorsque ses coûts d’approvisionnement sont élevés. Cette solution présente deux avantages par rapport à une couverture par achats de contrats à terme. D’une part,elle permet de réduire la facture d’assurance par effet de diversification. D’autre part, elle permet d’ajuster la couverture aux contraintes logistiques et stratégiques particulières de l’entreprise. / This thesis addresses several aspects of the insurability of catastrophic risks. In a first chapter, we focus on very low probability events and we show how hybrid financial instruments can be used to extend the domain of insurablerisks. Our application to the case of nuclear accidents using cat-bonds data in France shows that despite the higherprice of reinsurance for low probability events, it is advisable to insure more than is currently provided for by the Frenchlaw. The second chapter takes on the issue of why reinsurance is more costly for low probability events. We show thatbecause catastrophic risks have a systemic component, they give rise to a risk premium in equilibrium which decreasesat a lower pace than the willingness to pay for insurance. We use this finding to explain why systemic low probability catastrophes are hard to insure. The third chapter investigates the role of mutual and participating contracts to improveinsurability. Such contracts are necessary for people to adjust their demand for insurance when individual losses are correlated. Finally, the fourth chapter investigates the use of cat-bonds to hedge the risk of extreme agricultural suppliesprice variations. By issuing a cat-bond, the firm that purchases supplies borrows a capital that can be retained in caseof catastrophe. Such a solution would combine the advantage of risk-pooling, to lower the price of insurance, with lowerbasis risk compared to more traditional hedging strategies such as future purchases.

Executive compensation and its issues are a very sensitive subject, to be taken with apinch of salt, but it is above all a fascinating subject, which deserves a more globalunderstanding from people. Our study thus aims to determine to what extent executivecompensation and its structure, which may seem complex at first glance, play a role inthe risk aversion of executives. Our study demonstrates that there are more predominantexternal factors than compensation that influence an executive's risk aversion.Previous literature contains and exposes a large theoretical framework in our researcharea about risk aversion, and some factors that could have consequences on it. However,it has never been estimated and conducted through the interviews of people that candescribe the phenomena they have to deal with on a daily basis: executives andCompensation & Benefits Specialists. The emphasis on the practical point of view theycould provide was a key point of our approach.This thesis was directed with a qualitative study to understand perception and explainingfactors on the value of risk aversion by top managers. The semi-interviews completedgave data from various points of view in terms of roles in the company, sector of activityor country of the firm. Established from our review of previous research, the interviewguide evoked seven main themes to enable us to answer our research question.Literature search permitted us to highlight how risk aversion could be seen as a parameterthat needed leverage from the principal, rooting on the agency theory and its solution,with the optimal contract. We identified factors that could impact the risk aversion ofmanagers on top of the executive compensation. These four factors: innovation,information sharing, temporality and external factors went under analysis, linkingprevious studies and our data to explain, evaluate and understand how they couldinfluence risk aversion.Our study brings a real added value to the previous research. Indeed, on the theoreticallevel, our study allows us to know that it is not compensation that has the most prominentleverage effect on the risk aversion of executives. Beyond this theoretical benefit that thisresearch brings, it also brings a practical benefit since it will allow the managers of listedcompanies to better understand the stakes of a compensation structure, in particular thatof risk aversion. It provides companies with the keys to conceptualizing a compensationstructure in accordance with their culture and long-term objectives.

This diploma thesis deals with the problem of portfolio optimization in relation to the mean vector and the variance matrix of yields. The emphasis is put on Mar- kowitz model. In the thesis there are explored some possibilities of robustification based on the used parametric set. Beside the classic formulation of the task our focus is also devoted to the cases in which short sales are not allowed. The core of the thesis constitutes of a simulation study that models the impact of errors in the estimation of the input parameters of Markowitz model. It takes into account different types of risk aversions and different approaches to modelling parameter perturbations . Therefore it specifies the hypothesis of the dominating influence of the mean vector estimate which is valid only for a risk lover. 1

ABSTRACT Title: Do women's risk aversion have any effect on earnings quality and audit fees? Level: Student thesis, final assignment for Bachelor Degree in Business Administration Author: Josephine Jonsson and Josefin Lund Supervisor: Jan Svanberg Date: 2019 – june Aim: Due to the positive qualities women are considered to add to the boardroom and the countries' quota requirements for the proportion of women on boards, it is of great importance to examine the possible effect of an increased number of women on boards. The purpose of this study is to investigate whether there is a connection between external audit fees and the proportion of women on the board. A second purpose is to investigate whether a higher/lower audit fees associated with women on the board is related to higher earnings quality. Method: The study adopts a hypothetical-deductive approach with a positivistic perspective. Quantitative secondary data has been obtained from the Thomson Reuters Eikon. A longitudinal study has been designed and the selection has finally been analyzed in multiple regression analysis using the statistics program IBM SPSS. Result & Conclusions: The study's literature review gave reason to expect a connection between the proportion of women on the board and the companies' earnings management and audit fees explained by women's risk aversion. The study measures the companies' earnings quality with earnings management in order to seek answers to whether the audit fee can be explained by the earnings quality. The result shows no correlation and the study can thus not explain the companies' audit fees with women's tendency to act risk averse. Contribution of the thesis: From a theoretical perspective, the study contributes to business research through an increased understanding of the view of the female leader, as this study seeks out explanations other than risk aversion to the connection between audit fees and the female leader. The study's practical contribution is about clarifying the effect of appointing more women on boards, and the study provides valuable information to the companies' stakeholders due to the quota requirements of women on boards in certain countries. Suggestions for future research: Since the results in the study do not fall in line with previous research, future research should take an open perspective on whether women should be assumed to be risk averse. There may be many other explanations for the effects of women on leading positions. These effects should be investigated. It is also interesting to investigate how the quota of women in leading positions affects the companies' profitability, if the woman is hired because of her gender and not her experience and competence. / SAMMANFATTNING Titel: Har kvinnors riskaversion någon effekt på redovisningskvalitet och revisionsarvode? Nivå: Examensarbete på Grundnivå (kandidatexamen) i ämnet företagsekonomi Författare: Josephine Jonsson och Josefin Lund Handledare: Jan Svanberg Datum: 2019 – juni Syfte: Med anledning av de positiva egenskaper kvinnor anses tillföra i styrelserummen samt ländernas kvoteringskrav på andel kvinnor i styrelser är det av stor vikt att undersöka den eventuella effekt som kommer av ett ökat antal kvinnor i styrelser. Syftet med denna studie är att undersöka om det finns ett samband mellan externt revisionsarvode och andel kvinnor i styrelsen. Ett andra syfte är att undersöka om ett eventuellt högre/lägre revisionsarvode associerat till kvinnor i styrelsen är relaterat till högre redovisningskvalitet. Metod: Studien antar en hypotetisk-deduktiv ansats och ett positivistiskt perspektiv. Kvantitativ sekundärdata har inhämtats från databasen Thomson Reuters Eikon. En longitudinell studie har designats och urvalet har slutligen genomgått analys i multipla regressionsanalyser med hjälp av statistikprogrammet IBM SPSS. Resultat och slutsats: Studiens litteraturundersökning gav anledning att förvänta sig ett samband mellan andel kvinnor i styrelsen och företagens resultatmanipulation och revisionsarvode förklarat med kvinnors riskaversion. Studien mäter företagens redovisningskvalitet med resultatmanipulation för att söka svar på om revisionsarvodet kan förklaras med företagens redovisningskvalitet. Resultatet visar inget samband och studien kan således inte förklara företagens revisionsarvoden med kvinnors tendens att agera riskavert. Examensarbetets bidrag: Ur ett teoretiskt perspektiv bidrar studien till den företagsekonomiska forskningen genom en ökad förståelse på synen på den kvinnliga ledaren, eftersom denna studie söker andra förklaringar än riskaversion till sambandet mellan revisionsarvodet och den kvinnliga ledaren. Studiens praktiska bidrag handlar om att tydliggöra effekten av att tillsätta fler kvinnor i styrelser och studien tillhandahåller värdefull information till företagens intressenter med anledning av kvoteringskrav på kvinnor i styrelser i vissa länder. Förslag till fortsatt forskning: Då sambanden i studien inte faller i linje med tidigare forskning bör framtida forskning inta ett öppet perspektiv på huruvida kvinnan kan antas riskavert. Det kan finnas många andra förklaringar till effekterna som uppstår av kvinnor på ledande poster. Dessa effekter bör undersökas. Det vore även intressant att undersöka hur inkvotering av kvinnor i ledande positioner påverkar företagens lönsamhet, ifall kvinnan inkvoteras på grund av sin könstillhörighet och inte sin erfarenhet och kompetens.

A metacognição é processo conceituado como o julgamento que um organismo (humano ou não humano) faz sobre seu próprio saber ou não saber. Há relatos de pesquisas sobre esse processo com seres humanos e diversas espécies de não humanos. Poucos estudos, porém, discutem a ocorrência de metacognição em ratos, e os resultados são controversos, em função de questionamentos sobre os procedimentos experimentais empregados. Este estudo teve o objetivo de investigar o efeito da manipulação de diferentes proporções de reforço produzidas em duas alternativas, sendo uma probabilística e outra com reforçamento contínuo, sobre o desempenho de ratos em uma tarefa de discriminação de diferentes durações de estímulos sonoros. O procedimento empregado é uma adaptação do utilizado por Foote e Crystal (2007), que investigou a ocorrência de metacognição em ratos. Foram utilizados cinco ratos machos, da linhagem Wistar (Rattus norvegicus) mantidos a 80% de seu peso ad libitum. O aparato utilizado foi um labirinto em Ey. O procedimento consistiu de quatro fases: 1) Treino exploratório no braço em Y, no qual o animal foi exposto a alternativas que continham seis pelotas de ração; 2) Treino de discriminação de estímulos sonoros, no qual foram treinadas duas discriminações condicionais com duas durações de estímulo sonoro, uma curta (2s), e uma longa (8s), cada uma correlacionada com a escolha de uma das portas do braço em Y; 3) Treino exploratório no braço em I, no qual os animais foram expostos a uma alternativa livre, que continha três pelotas de ração; e 4) Fase de Teste, na qual foram apresentadas diferentes durações de som (2.00, 2.44, 2.97, 3.62, 4.42, 5.38, 6.56 e 8.00s), a partir das quais o animal poderia escolher entre o braço em Y (fazer o teste), e receber seis pelotas de ração caso escolhesse a porta correta (correlacionada à duração curta ou longa), ou escolher a alternativa de recusa do teste, produzindo, com certeza, a quantidade de ração estabelecida pela condição em vigor. Foi analisada a porcentagem de escolhas realizadas pelos animais nos braços Y e I em cada condição, assim como a relação entre a porcentagem de acertos e erros nos testes e recusa, para cada duração de som. Todos os sujeitos atingiram o critério de aprendizagem estabelecido na fase de treino. Na fase de testes, observou-se que o som deixou de exercer controle sobre a resposta de escolha de todos os animais. À medida que a proporção de reforço variou na alternativa de recusa, os animais alteraram o padrão de escolha, de propensão para aversão ao risco, de acordo com a condição em vigor. A escolha por uma alternativa não se mostrou sob controle da acurácia dos animais em discriminar as durações dos estímulos apresentados, mas sim da proporção e probabilidade do reforço em cada alternativa. Discute-se a necessidade de se recorrer ao conceito de metacognição para descrever o desempenho dos animais em tarefas como a empregada no presente estudo. / The metacognition process is known as the judgment that an organism (human or nonhuman) makes of its own knowing or not knowing. There are research reports on this process in humans and several nonhuman species. Few discuss the occurrence of metacognition in rats, though, and the results are controversial due to the questionings about the experimental procedures applied. The aim of this study was to investigate the effects in handling different reinforcement proportions in two alternatives, one being probabilistic and the other with continuous reinforcement, on the performance of rats in a task of discrimination of different sound stimuli duration. The applied procedure was adapted from that used by Foote and Crystal (2007), which investigated the occurrence of metacognition in rats. Five male Wistar rats (Rattus norvegicus) were used and maintained at 80% of their weight ad libitum. The apparatus used was an Ey-shaped maze. The procedure consisted of four phases: 1) exploratory training on the Y arm, in which the animal was exposed to alternatives containing six pellets of food; 2) training on sound stimuli discrimination, in which were trained two conditional discriminations with two different sound stimuli durations one short (2s) and one long (8s) each linked to the choice of one door from the Y arm; 3) exploratory training on the I arm, in which the animals were exposed to a free-choice alternative containing three pellets; and 4) test phase, in which were used different sound durations (2.00, 2.44, 2.97, 3.62, 4.42, 5.38, 6.56 and 8.00s), giving the animal the option of choosing between the Y arm (doing the test) and get six pellets of food if it chooses the correct door (according to the short or long duration), and the refusal of the test, producing, that way, an amount of food established by the current condition. The percentage of choices made by the animals on the Y and I arms in each condition was analyzed, as well as the relation between the percentage of successes and errors in tests and refusals for each sound duration. All the subjects achieved the learning criterion stated in the training phase. During the test phase it was noted that the sound ceased in exerting control over all the animals responses. As the reinforcement proportions varied in the refusal alternatives the animals altered the pattern of choice from risk-proneness to risk-aversion, according to the current condition. The choice for an alternative didnt show to be controlled by the animals accuracy in discriminating the stimuli durations presented, but by the proportion and probability of the reinforcement in each alternative. Its been discussed the need to resort to the concept of metacognition to describe the animals performance in tasks such as the one applied in the present study.

This thesis studies the use of nonparametric econometric methods to reconcile the empirical behaviour of financial asset prices with theoretical valuation models. The confrontation of economic theory with asset price data requires various functional form assumptions about the preferences and beliefs of investors. Nonparametric methods provide a flexible class of models that can prevent misspecification of agents’ utility functions or the distribution of asset returns. Evidence for potential nonlinearity is seen in the presence of non-Gaussian distributions and excessive volatility of stock returns, or non-monotonic stochastic discount factors in option prices. More robust model specifications are therefore likely to contribute to risk management and return predictability, and lend credibility to economists’ assertions. Each of the chapters in this thesis relaxes certain functional form assumptions that seem most important for understanding certain asset price data. Chapter 1 focuses on the state-price density in option prices, which confounds the nonlinearity in both the preferences and the beliefs of investors. To understand both sources of nonlinearity in equity prices, Chapter 2 introduces a semiparametric generalization of the standard representative agent consumption-based asset pricing model. Chapter 3 returns to option prices to understand the relative importance of changes in the distribution of returns and in the shape of the pricing kernel. More specifically, Chapter 1 studies the use of noisy high-frequency data to estimate the time-varying state-price density implicit in European option prices. A dynamic kernel estimator of the conditional pricing function and its derivatives is proposed that can be used for model-free risk measurement. Infill asymptotic theory is derived that applies when the pricing function is either smoothly varying or driven by diffusive state variables. Trading times and moneyness levels are modelled by marked point processes to capture intraday trading patterns. A simulation study investigates the performance of the estimator using an iterated plug-in bandwidth in various scenarios. Empirical results using S&P 500 E-mini European option quotes finds significant time-variation at intraday frequencies. An application towards delta- and minimum variance-hedging further illustrates the use of the estimator. Chapter 2 proposes a semiparametric asset pricing model to measure how consumption and dividend policies depend on unobserved state variables, such as economic uncertainty and risk aversion. Under a flexible specification of the stochastic discount factor, the state variables are recovered from cross-sections of asset prices and volatility proxies, and the shape of the policy functions is identified from the pricing functions. The model leads to closed-form price-dividend ratios under polynomial approximations of the unknown functions and affine state variable dynamics. In the empirical application uncertainty and risk aversion are separately identified from size-sorted stock portfolios exploiting the heterogeneous impact of uncertainty on dividend policy across small and large firms. I find an asymmetric and convex response in consumption (-) and dividend growth (+) towards uncertainty shocks, which together with moderate uncertainty aversion, can generate large leverage effects and divergence between macroeconomic and stock market volatility. Chapter 3 studies the nonparametric identification and estimation of projected pricing kernels implicit in the pricing of options, the underlying asset, and a riskfree bond. The sieve minimum-distance estimator based on conditional moment restrictions avoids the need to compute ratios of estimated risk-neutral and physical densities, and leads to stable estimates even in regions with low probability mass. The conditional empirical likelihood (CEL) variant of the estimator is used to extract implied densities that satisfy the pricing restrictions while incorporating the forwardlooking information from option prices. Moreover, I introduce density combinations in the CEL framework to measure the relative importance of changes in the physical return distribution and in the pricing kernel. The nonlinear dynamic pricing kernels can be used to understand return predictability, and provide model-free quantities that can be compared against those implied by structural asset pricing models.