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visits member for 2 years, 1 month
seen Jun 13 at 21:43

Mar
8
comment Comparing Cash Equivalent of risky portfolios
@AlexeyKalmykov If I may ask a question as I am still novice on this topic. In the paper of Chopra and Ziemba that cited as reference, the authors assumed an exponential utility function (in their expected utility framework). Therefore the utility is the same of all investors. Why they need to get rid off utility units (by using CE) since all the portfolios have the same utility units, and as a consequences may be comparable.
Mar
7
comment Comparing Cash Equivalent of risky portfolios
Great answer. Sometimes it is surprising to see how that the academic community agreed on stuff without apparent reasons!!
Nov
14
comment Is it possible to derive the “risk tolerance” from the portfolio efficient frontier?
Exactly, known also as the "risk aversion coefficient".