Chabi-Yo, Fousseni - In: Management Science 58 (2012) 3, pp. 624-640
investor's risk aversion and skewness preference. The risk aversion is estimated to be between two and five and is significant … utility produces a pricing kernel function of market stochastic volatility, stochastic skewness, and stochastic kurtosis. The … prices of risk of these moments are restricted by the investor's risk aversion, skewness preference, and kurtosis preference …