Option-implied risk aversion estimates

被引：286

作者：

Bliss, RR ^{[1
]}

Panigirtzoglou, N

机构：

[1] Fed Reserve Bank Chicago, Chicago, IL USA

[2] Bank England, London, England

来源：

JOURNAL OF FINANCE | 2004年 / 59卷 / 01期

关键词：

D O I：

10.1111/j.1540-6261.2004.00637.x

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

Using a utility function to adjust the risk-neutral PDF embedded in cross sections of options, we obtain measures of the risk aversion implied in option prices. Using FTSE 100 and S&P 500 options, and both power and exponential-utility functions, we estimate the representative agent's relative risk aversion (RRA) at different horizons. The estimated coefficients of RRA are all reasonable. The RRA estimates are remarkably consistent across utility functions and across markets for given horizons. The degree of RRA declines broadly with the forecast horizon and is lower during periods of high market volatility.

引用

页码：407 / 446

页数：40

共 42 条

[1] Nonparametric risk management and implied risk aversion [J].