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华中科技大学投资学课件Chapter5 Risk and Risk Aversion。
Risk Aversion and Preference for Store Price Format
Risk Aversion Preference Store Price Format
2014/6/3
Risk Aversion and Preference for Store Price Format。
Risk Aversion, Risk Behavior and Demand for Insurance: a survey
Risk aversion Insurance demand Education Human development
2014/6/23
Determinants of risk attitudes of individuals are of great interest in the growing area of behavioral economics that focuses on the individual attributes, psychological or otherwise, that shape common...
This paper characterizes downside risk aversion in a simple and intuitive manner. It is shown that using this characterization one can simplify considerably a theorem by Jindapon (2010) relating to gr...
Utility Maximization, Risk Aversion, and Stochastic Dominance
Utility maximization, risk aversion, stochastic dominance
2011/7/22
Consider an investor trading dynamically to maximize expected utility from terminal wealth. Our aim is to study the dependence between her risk aversion and the distribution of the optimal terminal pa...
A Linear Relationship between Market Prices of Risks and Risk Aversion in Complete Stochastic Volatility Models
von-Neumann Morgenstern utility asset risk linear combination
2011/4/2
Considering a production economy with an arbitrary von-Neumann Morgenstern utility, this paper derives a general equilibrium relationship between the market prices of risks and market risk aversion un...
Risk Aversion Asymptotics for Power Utility Maximization
power utility risk aversion asymptotics opportunity process
2010/10/19
We consider the economic problem of optimal consumption and investment with power utility. We study the optimal strategy as the relative risk aversion tends to infinity or to one. The convergence of ...
Risk Aversion and Portfolio Selection in a Continuous-Time Model
Risk Aversion Portfolio Selection Continuous-Time Model
2010/12/17
The comparative statics of the optimal portfolios across individuals is carried out for a continuous-time complete market model, where the risky assets price process follows a joint geometric Brownia...
Time Varying Risk Aversion: An Application to Energy Hedging
Energy Hedging Risk Management Risk Aversion Forecasting
2011/3/31
Risk aversion is a key element of utility maximizing hedge strategies; however, it has typically been assigned an arbitrary value in the literature. This paper instead applies a GARCH-in-Mean (GARCH-M...
MPS Risk Aversion and MV Analysis in Continuous Time with Lévy Jumps
Risk Aversion MV Analysis temporal efficient frontier
2011/4/6
This paper studies sequential portfolio choices by MPS-risk-averse investors in a continuous time jump-diffusion framework. It is shown that the optimal trading strategies for MPS risk averse investor...
Spectral Risk Measures and the Choice of Risk Aversion Function
coherent risk measures spectral risk measures risk aversion functions
2011/3/31
Spectral risk measures are attractive risk measures as they allow the user to obtain risk measures that reflect their risk-aversion functions. To date there has been very little guidance on the choice...
Mean-Preserving-Spread Risk Aversion and The CAPM
CAPM equilibrium two-fund separation generalized efficient portfolio MPS-risk-aversion
2011/4/6
This paper establishes conditions under which the classical CAPM holds in equilibrium. Our derivation uses simple arguments to clarify and extend results available in the literature. We show that if a...
Nonparametric Risk Management and Implied Risk Aversion
Nonparametric Risk Management Implied Risk Aversion
2014/3/13
Nonparametric Risk Management and Implied Risk Aversion.