Publication
A comparison of risk aversion between markets
| datacite.subject.fos | Ciências Sociais::Economia e Gestão | |
| dc.contributor.advisor | Kokkonen, Joni | |
| dc.contributor.author | Tavares, José Pedro Moura | |
| dc.date.accessioned | 2014-11-07T11:19:12Z | |
| dc.date.available | 2014-11-07T11:19:12Z | |
| dc.date.issued | 2013-11-08 | |
| dc.date.submitted | 2013 | |
| dc.description.abstract | 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. | por |
| dc.identifier.tid | 201092638 | |
| dc.identifier.uri | http://hdl.handle.net/10400.14/15519 | |
| dc.language.iso | eng | por |
| dc.subject | Lognormal mixture | por |
| dc.subject | Generalised beta | por |
| dc.subject | Hermite polynomials | por |
| dc.subject | Risk neutral densities | por |
| dc.subject | Risk transformations | por |
| dc.title | A comparison of risk aversion between markets | por |
| dc.type | master thesis | |
| dspace.entity.type | Publication | |
| rcaap.rights | openAccess | por |
| rcaap.type | masterThesis | por |
| thesis.degree.name | Mestrado em Gestão |