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Variations in Risk Aversion
Jezik
Engleski
Engleski
Knjiga
Meki uvez
In this paper recent techniques for recovering information implied by options market prices and real...
Cijeli opis
Libristo kod: 06828509
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137 b
137 b
54.78
€
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In this paper recent techniques for recovering information implied by options market prices and realized returns are applied empirically to measure the risk aversion of investors in the Israeli stock market. We determine nonparametric volatility smile, densities and risk aversion functions from a ten years sample of daily option and stock market prices. Moreover, we construct a time series of the absolute risk aversion, and study its variation over time. We report decreasing and generally positive risk aversion function, which varies substantially over time and is negatively correlated with the ATM implied volatility.
Informacije o knjizi
Puni naziv
Variations in Risk Aversion
Autor
Moshe Omer
Jezik
Engleski
Engleski
Uvez
Knjiga - Meki uvez
Datum izdanja
2009
Broj stranica
52
EAN
9783639205343
ISBN
3639205340
Libristo kod
06828509
Nakladnici
VDM Verlag
Težina
91
Dimenzije
152 x 229 x 3
