Get A More Precise Number of Risk Aversion Coefficient and the Effect of Changing the Utility Function
Date Issued
2014
Date
2014
Author(s)
Dai, Jian-Kai
Abstract
Previous papers change the covariance term of C-CAPM into FED and SED terms and assume the consumption and utility function to solve the numbers of risk aversion coefficients of each country by empirical data. This paper tries to use higher order expectation dependence to get a more precise converging number of risk aversion coefficient of each country. There is another assumption of utility function which is power utility function to compare with original exponential utility function. There is some discussion about CRRA empirically by recent studies, as a result, adding the assumption of power utility function may provide more widely interpretations to the degree of risk aversion. In the coefficients of relative risk aversion, there is a special case that the result of Italy in accordance with past study, which gives a certain degree of reliability.
Subjects
資本資產定價模型
消費基礎
期望相關
風險趨避
效用函數
Type
thesis
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