Publicação
Asset price distributions and risk aversion : what can we learn from options market?
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | pt_PT |
| dc.contributor.advisor | Machado, Fernando | |
| dc.contributor.author | Ventura, Joana Catarina Pereira | |
| dc.date.accessioned | 2016-09-08T12:59:49Z | |
| dc.date.available | 2016-09-08T12:59:49Z | |
| dc.date.issued | 2012-09-17 | |
| dc.date.submitted | 2012 | |
| dc.description.abstract | This dissertation infers descriptive statistical measures from the estimated risk-neutral probability density functions derived from short-term out-of-the money monthly S&P 500 option prices in respective precrisis and crisis periods. The generalized beta distribution of the second kind, the mixture of lognormal distribution and the lognormal polynomial distribution comprise the three parametric methods used to estimate such density functions. The three estimated risk-neutral probability density functions tend to be negatively skewed, leptokurtic and exhibit roughly equal distribution mean values. The constant relative risk aversion coefficient is computed through the method used by Liu et al. (2007) for quarterly risk-neutral densities. The pre-crisis constant relative risk aversion value is approximately 2.672 with a MLN distribution and 2.666 with a GB2 distribution, compared to constant relative risk aversion of 2.507 and 2.477, respectively, during the crisis period. The real-world densities became less skewed, less kurtic and contain a higher first-moment value than the risk-neutral densities. Results are fairly consistent with available academic literature. | pt_PT |
| dc.identifier.uri | http://hdl.handle.net/10400.14/20569 | |
| dc.language.iso | eng | pt_PT |
| dc.title | Asset price distributions and risk aversion : what can we learn from options market? | pt_PT |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | pt_PT |
| rcaap.type | masterThesis | pt_PT |
| thesis.degree.name | Mestrado em Gestão |