论文标题
箭头的绝对和相对风险避免系数的动态估计值
Dynamic Estimates Of The Arrow-Pratt Absolute And Relative Risk Aversion Coefficients
论文作者
论文摘要
我们得出了封闭式表达，以捕获非“公平”彩票的投资者的相对风险规避程度（RRA）的程度。我们认为我们的公式优于已提出的早期方法，因为它仅是三个变量的函数。也就是说，财政部的收益，特定市场指数的回报和市值。我们的配方在不同时间段的CAC 40，欧元，标准普尔500和STOXX 600上进行了测试。我们推断出，这些市场的投资者在我们考虑的所有不同时间段中表现出减少的绝对风险规避（DARA），而RRA的程度在恒定，减少或增加之间发生了变化。此外，我们提出了一种简单而直观的方式来衡量投资者对投资者效用的错误假设将影响其投资组合的结构的程度。我们的方法建立在两个资产组合框架上。也就是说，一个由一个风险和一个无风险资产组成的投资组合。采用我们的方法，经验发现表明，在具有相似特征的公用事业功能之间，投资于风险资产的权重也有很大差异。
We derive a closed-form expression capturing the degree of Relative Risk Aversion (RRA) of investors for non-"fair" lotteries. We argue that our formula is superior to earlier methods that have been proposed, as it is a function of only three variables. Namely, the Treasury yields, the returns and the market capitalization of a specific market index. Our formula, is tested on CAC 40, EURO, S&P 500 and STOXX 600, with respect to the market capitalization of each index, for different time periods. We deduce that the investors in these markets exhibit Decreasing Absolute Risk Aversion (DARA) through all the different time periods that we consider, while the degree of RRA has altered between being constant, decreasing or increasing. Furthermore, we propose a simple and intuitive way to measure the degree to which a wrong assumption with respect to the utility function of an investor will affect the structure of his portfolio. Our method is built on a two asset portfolio framework. Namely, a portfolio consisting of one risky and one risk-free asset. Applying our method, the empirical findings indicate that the weight invested in the risky asset varies substantially even among utility functions with similar characteristics.
