# Typical risk aversion parameter value for mean-variance optimization?

What are typical values for risk aversion parameters $\lambda$ used in mean-variance optimization? Please provide references.

Just to be clear, I'm talking about the $\lambda$ in $U(w) = w'\mu - \frac{\lambda}{2} w' \Sigma w$, the utility function in mean-variance optimization.

• Shouldn't it be "-" the variance term?!? – vonjd Jul 7 '13 at 18:33
• @vonjd You are right. Just edited. – Slow Learner Jul 9 '13 at 0:45