Home  Journals  Economic Analysis: Theory and Practice  20(149) – 2009 July

Risk aversion at the financial crisis

Available online: 30 September 2009

Subject Heading: Investment and risks

JEL Classification: 

A new methodology of risk aversion assessing was proposed. It is based on asymptotic estimation of the first and the second conditional moments of excess returns for some asset. Confidence intervals and fields for risk aversion were built. The adequacy of risk measure proposed to empirical data under the capital allocating and managing when markets drop dramatically was shown.

Keywords: univariate and multivariate risk aversion, Sharpe ratio, investment, the crisis, profitability, interval, the method

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ISSN 2311-8725 (Online)
ISSN 2073-039X (Print)

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