Properties of risk aversion estimated from portfolio weights

While risk tolerance is often elicited using questionnaire-based instruments, in this paper, we evaluate the merits of an inversion-based technique, wherein risk aversion parameters are inferred from an individual’s portfolio holdings and a sequence of realized returns. We obtain expressions for the...

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Veröffentlicht in:	Journal of asset management 2024-09, Vol.25 (5), p.427-444
Hauptverfasser:	Grant, Andrew, Kwon, Oh Kang, Satchell, Steve
Format:	Artikel
Sprache:	eng
Schlagworte:	Asset management Economics and Finance Finance Financial Services Original Article Portfolio management Questionnaires Risk aversion Risk Management
Online-Zugang:	Volltext
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