Publication
How impactful was 9/11 on market’s risk aversion? : option implied probability distributions and risk preferences
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Guedes, José Filipe Garcia Corrêa | |
| dc.contributor.author | Ferrão, David Ribeiro | |
| dc.date.accessioned | 2017-10-27T08:10:44Z | |
| dc.date.issued | 2017-10-17 | |
| dc.date.submitted | 2017 | |
| dc.description.abstract | This study assesses the impact of 9/11 on the Market’s risk aversion using S&P500 options. Risk Neutral densities are extracted through Lognormal Polynomials, Generalized Beta Distribution of the second kind and Mixture of two Lognormal Distributions methods, being the latter, the one which performs the best. There is an evident change in terms of density shape after 9/11. Risk aversion coefficients were estimated assuming an Expected Utility model and a Rank Dependent Expected Utility model. Under Expected Utility model, risk aversion coefficient yield an apparent irrational negative number, while RDEU exhibits positive values, with an increase in risk aversion after 9/11. | pt_PT |
| dc.description.abstract | Este estudo visa a avaliar o impacto do 11 de Setembro na aversão ao risco, presente no mercado, usando opcções do S&P500. As Risk Neutral Densities são extraídas através dos métodos: Lognormal Polynomials, Generalized Beta Distribution e Mixture of Lognormal distributions, sendo o último aquele que apresenta melhores resultados. Existe uma mudança evidente na forma da densidade após o 11 de Setembro. Os parâmetros de aversão ao risco são estimados assumindo um modelo de Expected Utility e um modelo de Rank Dependent Expected Utility. Segundo o modelo de Expected Utility, existe evidência de um parâmetro negativo, o que parece irracional, enquanto o modelo de Rank Dependent Expected Utility apresenta valores positivos, com um aumento deste, após o 11 de Setembro. | pt_PT |
| dc.identifier.tid | 201749025 | |
| dc.identifier.uri | http://hdl.handle.net/10400.14/23244 | |
| dc.language.iso | eng | pt_PT |
| dc.subject | Risk neutral densities | pt_PT |
| dc.subject | Risk aversion | pt_PT |
| dc.subject | Expected utility | pt_PT |
| dc.subject | Rank dependent | pt_PT |
| dc.title | How impactful was 9/11 on market’s risk aversion? : option implied probability distributions and risk preferences | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | restrictedAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Mestrado em Finanças |