Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/15519
Título: A comparison of risk aversion between markets
Autor: Tavares, José Pedro Moura
Orientador: Kokkonen, Joni
Palavras-chave: Lognormal Mixture
Generalised beta
Hermite Polynomials
Risk Neutral Densities
Risk Transformations
Data de Defesa: 8-Nov-2013
Resumo: In this study we perform a comparison between the Dow Jones Industrial Average and the FTSE 100 indexes concerning their estimated risk aversions. Risk neutral densities are calculated for both indexes using a polynomial-lognormal, a GB2 and a mixture of two lognormal distributions; we show that the best fit to observed data is obtained using the latter. For the method of best fit, and assuming a power utility function, the risk aversion of investors is calculated using a maximum likelihood method and a likelihood ratio. The FTSE 100 presents the highest value of risk aversion of the two indexes, as well as the lowest volatility. A negative correlation is found between risk aversion estimates and the volatility of the underlying index.
URI: http://hdl.handle.net/10400.14/15519
Aparece nas colecções:FCEE - Dissertações de Mestrado / Master Dissertations
R - Dissertações de Mestrado / Master Dissertations

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Dissertation Final.pdf1,24 MBAdobe PDFVer/Abrir


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