meta user
network profile
| bio | website | |
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| location | ||
| age | ||
| visits | member for | 2 years, 3 months |
| seen | yesterday | |
| stats | profile views | 29 |
This space for rent.
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Apr 9 |
awarded | Popular Question |
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Jan 31 |
awarded | Yearling |
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Mar 29 |
revised |
Fundamental Theorem of Asset Pricing (FTAP) syntax, grammar, etc |
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Feb 25 |
awarded | Enthusiast |
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Feb 6 |
awarded | Scholar |
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Feb 6 |
accepted | What is the origin of the words “put” and “call” that characterize derivatives? |
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Feb 6 |
accepted | What is a “coherent” risk measure? |
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Feb 4 |
revised |
Maximization of CARA utility function: unique solution with an unbounded parameter? added 871 characters in body |
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Feb 4 |
revised |
Maximization of CARA utility function: unique solution with an unbounded parameter? edited body |
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Feb 4 |
revised |
Maximization of CARA utility function: unique solution with an unbounded parameter? added 52 characters in body |
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Feb 4 |
answered | Maximization of CARA utility function: unique solution with an unbounded parameter? |
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Jan 31 |
awarded | Yearling |
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Nov 10 |
awarded | Nice Question |
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Oct 10 |
awarded | Revival |
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Oct 4 |
comment |
Do bond credit ratings suffer from “ratings inflation”? That's an interesting research topic actually. |
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Oct 3 |
answered | penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$ |
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Sep 28 |
comment |
Are there ways to measure the risk aversion of a representative investor, based on publicly available market data? The paper provides a relevant "operational" prediction, even if it's more than 40 years old - it's a theorem, and as such it has validity that transcends time. You can question its assumptions, but you can't question its predictions given its assumptions. Sometimes, you can't even question the assumptions either... OP's initial question is answered in my post among others, I believe - with several pointers to the literature which we all provided. Clearly, one has to understand what he's going to estimate (a parameter that defines a utility function) and how (you need an RA model), if at all. |
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Sep 28 |
comment |
Are there ways to measure the risk aversion of a representative investor, based on publicly available market data? @DirkEddelbuettel the most unremarkable of events: the Proof That Properly Discounted Present Values of Assets Vibrate Randomly. I join those that are not all that proud of the field - but I'm not ready to scrap it altogether. |
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Sep 28 |
awarded | Editor |
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Sep 28 |
revised |
Are there ways to measure the risk aversion of a representative investor, based on publicly available market data? added 182 characters in body |
