Home  Journals  Economic Analysis: Theory and Practice  34(199) - 2010 October

Evaluations of investment efficiency of the absolute risk aversion function in comparison with the most popular indicators of market sentiments.

Available online: 25 October 2010

Subject Heading: Risk management

JEL Classification: 

Current article describes the most popular indicators of market expectations being used for creating investment strategies. Author explains the methodology of their construction and highlights their shortcomings. Due to revealed inefficiencies of their use author propose an innovative tool - absolute risk aversion function for analysis of market expectations and creation of investment strategies. Results received in the course of the research suggest that investments based on the proposed indicator are more effective comparing to strategies relying on the most popular indicators of market expectations.

Keywords: market sentiments, option, profit dynamics, efficiency of investments

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

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