EconPapers    
Economics at your fingertips  
 

Estimating the uncertainty of relative risk aversion

Karl-Heinz Todter

Applied Financial Economics Letters, 2008, vol. 4, issue 1, 25-27

Abstract: This note reports estimates of the coefficient of relative risk aversion, using a method recently proposed by Azar (2006). In contrast to his work, the complete information of US stock return data over the period 1926 to 2002 is utilized. Moreover, a bootstrap procedure is applied to estimate the associated uncertainty. Point estimates close to 3.5 are obtained. However, ranging from 1.4 to 7.1, the 95% confidence interval is wide.

Date: 2008
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (1) Track citations by RSS feed

Downloads: (external link)
http://www.informaworld.com/openurl?genre=article& ... 40C6AD35DC6213A474B5 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:apfelt:v:4:y:2008:i:1:p:25-27

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFL20

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Mark Taylor

More articles in Applied Financial Economics Letters from Taylor and Francis Journals
Series data maintained by Chris Longhurst ().

 
Page updated 2018-03-24
Handle: RePEc:taf:apfelt:v:4:y:2008:i:1:p:25-27