haku: @author Ait-Sahalia, Y. / yhteensä: 5
viite: 2 / 5
| Tekijä: | Ait-Sahalia, Y. Lo, A, W. |
| Otsikko: | Nonparametric risk management and implied risk aversion |
| Lehti: | Journal of Econometrics
2000 : JAN-FEB, VOL. 94:1-2, p. 9-51 |
| Asiasana: | ECONOMETRICS RISK MANAGEMENT RISK AVERSION |
| Kieli: | eng |
| Tiivistelmä: | 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. |
SCIMA