• No results found

Recovering risk aversion from options

N/A
N/A
Protected

Academic year: 2021

Share "Recovering risk aversion from options"

Copied!
38
0
0

Loading.... (view fulltext now)

Full text

Loading

Figure

Table 2: Summary Statistics for Samples of Options Cross-Sections
Table 3: Berkowitz statistics p-values for risk-neutral and power- and exponential-utility- exponential-utility-adjusted PDFs
Table 4: Measures of relative risk aversion implied by PDFs adjusted using power and  exponential utility functions
Table 6: Percentiles under subjective PDFs of various risk-neutral percentile-point values
+4

References

Related documents

In the TWIP-cored sheets, however, localized bands were not formed because of very high strain hardening effect of the TWIP steel region in the initial deformation stage as well

For instance, in her critique of House of Splendid Isolation , Joan Smith maintains that, while specializing in depicting women’s emotions and conflicts, O’Brien

In order to identify the corresponding varieties, they were compared with the CRA-VIT molecular database (unpubl. data) and only two of them corresponded to varieties registered in

Managing these risks involves many of the same measures that would apply towards ensuring the success of self managed operations: Close contact with the customer to ensure a

The Joint Conference Church and Development (GKKE) and the Association of Research-based Pharmaceutical Companies (vfa) are taking the Bundestag elections in 2009 as an opportunity

Pero prin­ cipalmente, el esquema será válido como construcción teórica y síntesis explicativa si se utiliza como herra­ mienta para determinar las finalidades y la orientación

After stable heroin in- take behavior was achieved, the animals were divided into different groups balanced for the number of active lever presses to subsequently evaluate the

Trek the Inca Trail to Machu Picchu, search for wildlife at our exclusive G Lodge Amazon, spot condors at Colca Canyon, experience local life at a homestay on Lake Titicaca, explore