Determination and estimation of risk aversion coefficients
From MaRDI portal
Publication:1616811
DOI10.1007/s10287-018-0317-xzbMath1417.91441OpenAlexW2803504891WikidataQ129781874 ScholiaQ129781874MaRDI QIDQ1616811
Taras Zabolotskyy, Yarema Okhrin, Valdemar Vitlinskyy, Taras Bodnar
Publication date: 7 November 2018
Published in: Computational Management Science (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10287-018-0317-x
parameter uncertaintyrisk aversionLaplace distributionexponential utilityelliptically contoured distributionsquadratic utility
Related Items (4)
Another look at portfolio optimization with mental accounts ⋮ Multi-period power utility optimization under stock return predictability ⋮ Statistical inference for the tangency portfolio in high dimension ⋮ Quantile-based optimal portfolio selection
Cites Work
- Unnamed Item
- Unnamed Item
- Unnamed Item
- Distributional properties of portfolio weights
- On the exact solution of the multi-period portfolio choice problem for an exponential utility under return predictability
- Dynamic estimation of volatility risk premia and investor risk aversion from option-implied and realized volatilities
- A test for the weights of the global minimum variance portfolio in an elliptical model
- Robust portfolios: contributions from operations research and finance
- A characterization of the distributions that imply mean-variance utility functions
- Necessary conditions for the CAPM
- Economic implications of using a mean-VaR model for portfolio selection: a comparison with mean-variance analysis.
- Bayesian estimation of the global minimum variance portfolio
- Log-robust portfolio management with parameter ambiguity
- On the equivalence of quadratic optimization problems commonly used in portfolio theory
- Mean-variance approximations to expected utility
- The benefits of differential variance-based constraints in portfolio optimization
- Construction and Inferences of the Efficient Frontier in Elliptical Models
- Minimum VaR and minimum CVaR optimal portfolios: Estimators, confidence regions, and tests
- Robust Mean-Covariance Solutions for Stochastic Optimization
- ESTIMATION OF OPTIMAL PORTFOLIO WEIGHTS
- Estimation of optimal portfolio compositions for Gaussian returns
- A Test of the Efficiency of a Given Portfolio
This page was built for publication: Determination and estimation of risk aversion coefficients
