Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.14/15519
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dc.contributor.advisorKokkonen, Joni-
dc.contributor.authorTavares, José Pedro Moura-
dc.date.accessioned2014-11-07T11:19:12Z-
dc.date.available2014-11-07T11:19:12Z-
dc.date.issued2013-11-08-
dc.identifier.urihttp://hdl.handle.net/10400.14/15519-
dc.description.abstractIn 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.language.isoengpor
dc.rightsopenAccesspor
dc.subjectLognormal Mixturepor
dc.subjectGeneralised betapor
dc.subjectHermite Polynomialspor
dc.subjectRisk Neutral Densitiespor
dc.subjectRisk Transformationspor
dc.titleA comparison of risk aversion between marketspor
dc.typemasterThesispor
dc.identifier.tid201092638-
dc.subject.fosDomínio/Área Científica::Ciências Sociais::Economia e Gestão-
Aparece nas colecções:FCEE - Dissertações de Mestrado / Master Dissertations
R - Dissertações de Mestrado / Master Dissertations

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