Determination of Risk Aversion and Moment-Preferences : A Comparison of Econometric Models

The thesis at hand shows how to determine individual risk aversion with different discrete choice models, with gambles and jointly with both methods. The methods developed aim at allocating the investor's free part of wealth.

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Year of publication:	2002
Authors:	Wenner, Fabian
Published in:	Universität St. Gallen - EDIS - Elektronische Disserationen der Universität St. Gallen EDIS ; 2606
Publisher:	Universität <Sankt Gallen>
Subject:	Risikoaversion \| Entscheidung bei Risiko \| decision

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1 Introduction
I Two-Moment Risk Preference
2 The CAPM and two moment risk preference
3 Empirical Analysis
4 Joint estimation by gambles and observed stock ratio
II Three-moment risk preference
5 Shortcomings of two-moment asset pricing
6 Skewness
7 Determining skewness preference through gambles
8 Creating portfolio skewness withoptions
9 Joint estimation of three moment preference
10 Summary and Conclusion

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