Berger, Dave; Turtle, H. J. - In: Journal of Financial Research 32 (2009) 3, pp. 285-307
<heading id="h1" level="1" implicit="yes" format="display">Abstract</heading>We adopt realized covariances to estimate the coefficient of risk aversion across portfolios and through time. Our approach yields second moments that are free from measurement error and not influenced by a specified model for expected returns. Supporting the permanent income hypothesis,...
