Search Results - subject:"Risk Aversion Function"

Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings : a viscosity solution approach

Suzuki, Kiyoshi - In: Mathematics of operations research 46 (2021) 1, pp. 336-360

Persistent link: https://www.econbiz.de/10012498193

On a relationship between distorted and spectral risk measures

Henryk, Gzyl; Silvia, Mayoral - Volkswirtschaftliche Fakultät, … - 2006

We study the relationship between two widely used risk measures, the spectral measures and the distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing...

Persistent link: https://www.econbiz.de/10005790194

Implied risk aversion in option prices using Hermite polynomials

Coutant, Sophie - Université Paris-Dauphine (Paris IX) - 1999

The aim of this paper is to construct a time-varying estimator of the investors' risk aversion function. Jackwerth …), the Subjective Density (SD), and the Risk Aversion Function. The RND is estimated from options prices and the SD is …' expansions as suggested first by Madan and Milne (1994). We then deduce an estimator of the Risk Aversion Function and show that …

Persistent link: https://www.econbiz.de/10011073960

On a relationship between distorted and spectral risk measures

Gzyl, Henryk; Mayoral, Silvia - School of Economics and Business Administration, …

We study the relationship between two widely used risk measures, spectral measures and distortion risk measures. In both cases, the risk measure can be thought of as a re-weighting of some initial distribution. We prove that spectral risk measures are equivalent to distorted risk pricing...

Persistent link: https://www.econbiz.de/10010559843