Nonparametric risk management and implied risk aversion

Journal of Econometrics

Volumn 94, Issue 1-2, 2000, Pages 9-51

  Aït Sahalia, Yacine ^a   Lo, Andrew W ^b  

^a PRINCETON UNIVERSITY   (United States)

^b MASSACHUSETTS INSTITUTE OF TECHNOLOGY   (United States)

Author keywords

Nonparametric regression; Representative agent preferences; Risk aversion; Value at risk

Indexed keywords

EID: 0002804196     PISSN: 03044076     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-4076(99)00016-0     Document Type: Article

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