Why Does Implied Risk Aversion Smile?

This paper shows that preferences alone cannot explain the patterns reported in the literature.

Year of publication:	2002-05-01
Authors:	Ziegler, Alexandre
Publisher:	International Center for Financial Asset Management and Engineering (FAME) <Genf>
Subject:	Anlageverhalten \| Risikoaversion \| Empirische Forschung \| empirical research \| Erwartungsbildung \| Präferenz \| preference \| Schätzung

Persistent link: https://www.econbiz.de/10005843337