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seen Aug 18 '13 at 22:12

This space for rent.


Apr
9
awarded  Popular Question
Jan
31
awarded  Yearling
Mar
29
revised Fundamental Theorem of Asset Pricing (FTAP)
syntax, grammar, etc
Feb
25
awarded  Enthusiast
Feb
6
awarded  Scholar
Feb
6
accepted What is the origin of the words “put” and “call” that characterize derivatives?
Feb
6
accepted What is a “coherent” risk measure?
Feb
4
revised Maximization of CARA utility function: unique solution with an unbounded parameter?
added 871 characters in body
Feb
4
revised Maximization of CARA utility function: unique solution with an unbounded parameter?
edited body
Feb
4
revised Maximization of CARA utility function: unique solution with an unbounded parameter?
added 52 characters in body
Feb
4
answered Maximization of CARA utility function: unique solution with an unbounded parameter?
Jan
31
awarded  Yearling
Nov
10
awarded  Nice Question
Oct
10
awarded  Revival
Oct
4
comment Do bond credit ratings suffer from “ratings inflation”?
That's an interesting research topic actually.
Oct
3
answered penalizing negative skewness by linking $U(\mu)$ and $U(\Sigma)$
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.
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.
Sep
28
awarded  Editor
Sep
28
revised Are there ways to measure the risk aversion of a representative investor, based on publicly available market data?
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