Estimating the uncertainty of relative risk aversion

This note reports estimates of the coefficient of relative risk aversion, using a method recently proposed by Azar (2006). In contrast to his work, the complete information of US stock return data over the period 1926 to 2002 is utilized. Moreover, a bootstrap procedure is applied to estimate the associated uncertainty. Point estimates close to 3.5 are obtained. However, ranging from 1.4 to 7.1, the 95% confidence interval is wide.

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Year of publication:	2008
Authors:	Todter, Karl-Heinz
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 4.2008, 1, p. 25-27
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004988382