Home  Journals  Financial Analytics: Science and Experience  31(73) - 2011 August

Aversion of risk and consumption level at investment

Available online: 30 August 2011

Subject Heading: MATHEMATICAL METHODS OF ANALYSIS IN THE ECONOMY

JEL Classification: 

A new methodology of consumption rate and 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. The dependence between risk aversion coefficients for different financial derivatives with a single basis asset was found. The adequacy of risk measure and consumption proposed to empirical data under the capital allocating and managing when markets drop dramatically was shown.

Keywords: univariate risk aversion, consumption rate, marginal propensity, consume, Sharpe ratio, STS-GARCH(1,1)

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ISSN 2311-8768 (Online)
ISSN 2073-4484 (Print)

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