Estimating time-varying risk aversion from option prices and realized returns

Journal article

Peer reviewed

Quantitative Finance, Vol.23(1), pp.1-17

2023

Handle:

https://hdl.handle.net/10863/36447

Abstract

Risk aversion is estimated from risk-neutral densities and realized index returns.

url

https://www.tandfonline.com/doi/abs/10.1080/14697688.2022.2130086View

Title: Estimating time-varying risk aversion from option prices and realized returns
Creators: Maria Kosolapova - Free University of Bozen-Bolzano
Michael Hanke - University of Liechtenstein
Alex Weissensteiner - Free University of Bozen-Bolzano
Publication Details: Quantitative Finance, Vol.23(1), pp.1-17
ISSN: 1469-7688
EISSN: 1469-7696
Series / Volume: 23
Publisher: Taylor and Francis Group
Identifiers: (UNIBZ)67554035
991006608793801241
Web of Science ID: WOS:000871781900001
Scopus ID: 2-s2.0-85141148411
Academic Unit: Faculty of Economics and Management
Language: English
Resource Type: Journal article
Author Names String: Kosolapova M, Hanke M, Weissensteiner A

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