Option-Implied Risk Aversion Estimates

Article Abstract:

Exponential and power utility functions are used to measure option price-implied risk aversion for various horizons; findings are consistent across markets and utility functions. Relative risk aversion is lower during volatility, and declines with the forecast horizon.

Capital funds & cash flow, Usage, Options (Finance), Comparative analysis, Valuation, Utility theory, Utility functions

---

Optimal life-cycle asset allocation: understanding the empirical evidence

Article Abstract:

A life-cycle model, which can analyze asset allocation decisions and stock market participation rates, is developed using risk management techniques.

United Kingdom, Analysis, Stocks, Design and construction, Stock prices, Capital assets pricing model, Capital asset pricing model

---

Debt maturity, risk, and asymmetric information

Article Abstract:

The effects of Flannery and Diamond's risk assessment models in determining debt maturity risk and asymmetric information are tested.

United States, Management dynamics, Management, Company business management, Debt financing (Corporations), Debt financing

Similar abstracts:

• Abstracts: The adoption of direct banking services. Customer relationship typologies and the nature of loyalty in Irish retail financial services
• Abstracts: Capturing and profiling adult hair follicle stem cells. Specification of motoneurons from human embryonic stem cells
• Abstracts: People on the move. Powering the purse strings. More retirement fund options
• Abstracts: Disclosure compliance with national accounting standards by listed companies in South Asia. Earnings management of distressed firms during debt renegotiation
• Abstracts: New service development: a network perspective. A research agenda for investigation of product innovation in the financial services sector

This website is not affiliated with document authors or copyright owners. This page is provided for informational purposes only. Unintentional errors are possible.