Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications

DOI10.1142/9789811202391_0065zbMath1451.91189OpenAlexW3084993046MaRDI QIDQ5139490

Cheng-Few Lee, Marvin J. Karson, David C. Cheng

Publication date: 9 December 2020

Published in: Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/9789811202391_0065

zbMATH Keywords

maximum likelihood estimatorminimum variance unbiased estimatornoncentral \(t\) distributionrelative risk aversion distribution

Mathematics Subject Classification ID

Utility theory (91B16) Financial markets (91G15)

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