search query: @author Kritzman, M. / total: 3
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| Author: | Kritzman, M. Lowry, K. Royen, A.-S. Van |
| Title: | Cross-country and intertemporal indexes of risk aversion |
| Journal: | Journal of Asset Management
2002 : JUL, VOL. 3:1, p. 29-38 |
| Index terms: | RISK RISK AVERSION UTILITY EXPECTATIONS PORTFOLIO MANAGEMENT REGRESSION ANALYSIS RISK PREMIUM |
| Language: | eng |
| Abstract: | One of the most common and firmly held views of financial economics is that investors are averse to risk. Although a formal description of risk aversion was proposed by the celebrated mathematician, Daniel Bernoulli, as early as 1738, financial economists are still puzzled about many aspects of risk aversion, including the fact that the realized premium of equities over a risk free asset is too large to accord with 'normal' notions of risk aversion. This discrepancy is known as the equity risk premium puzzle. There is also vigorous debate as to the effect of horizon on the willingness of investors to bear risk. To help address these issues and other questions related to risk aversion, a methodology is introduced to infer risk aversion from global portfolio flows and holdings. |
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