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| Author: | Ait-Sahalia, Y. Lo, A, W. |
| Title: | Nonparametric risk management and implied risk aversion |
| Journal: | Journal of Econometrics
2000 : JAN-FEB, VOL. 94:1-2, p. 9-51 |
| Index terms: | ECONOMETRICS RISK MANAGEMENT RISK AVERSION |
| Language: | eng |
| Abstract: | This paper proposes a new value-at-risk measure:E-VaR. The difference between economic and statistical value-at-risk lies in the fact that E-VaR incorporates and reflects the combined effects of aggregate risk preferences, supply and demand, and probabilities; S-VaR involves only one of these effects. |
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