Determination and estimation of risk aversion coefficients

Bodnar, Taras; Okhrin, Yarema; Vitlinskyy, Valdemar; Zabolotskyy, Taras

doi:10.1007/s10287-018-0317-x

Cited by 17 publications

(7 citation statements)

References 37 publications

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“…These multi-attribute utility functions express loss aversion instead of risk aversion. Similar results are obtained recently Bodnar et al (2018). Thus, the value of the risk aversion parameter depends on the distribution of the underlying asset, which is somehow another way to express the decision maker risk preferences.…”

Section: Illustrationsupporting

confidence: 84%

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Regime Switching Entropic Risk Measures on Crude Oil Pricing

Seck¹,

Elliott²

2021

Preprint

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This paper introduces a new type of risk measures, namely regime switching entropic risk measures, and study their applicability through simulations. The state of the economy is incorporated into the entropic risk formulation by using a Markov chain. Closed formulae of the risk measure are obtained for futures on crude oil derivatives. The applicability of these new types of risk measures is based on the study of the risk aversion parameter and the convenience yield. The numerical results show a term structure and a mean-reverting behavior of the convenience yield.

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Section: Illustrationsupporting

confidence: 84%

“…This is related to the expression of the entropic risk measure itself. The determinants and estimations of the risk aversion parameter are studied in Bodnar et al (2018). Usually, the value of the risk aversion depends on the decision maker's behavior.…”

Section: Illustrationmentioning

confidence: 99%

Regime Switching Entropic Risk Measures on Crude Oil Pricing

Seck¹,

Elliott²

2021

Preprint

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“…The risk aversion level can be viewed as a characteristic of the investor's indifference curve which represents the investor's preference for risk and return. How to choose or fix the value of α in practice is not obvious and a number of papers have suggested different approaches to estimating the risk aversion coefficient (see, e.g., [16][17][18][19]). When solving the maximization problem defined in (1), we note that short sales are allowed and there are no restrictions on the portfolio weights, therefore, the optimization problem is unconstrained.…”

Section: Resultsmentioning

confidence: 99%

Statistical inference for the tangency portfolio in high dimension

2021

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In this paper, we study the distributional properties of the tangency portfolio (TP) weights assuming a normal distribution of the logarithmic returns. We derive a stochastic representation of the TP weights that fully describes their distribution. Under a highdimensional asymptotic regime, i.e., the dimension of the portfolio, k, and the sample size, n, approach infinity such that k/n → c ∈ (0, 1), we deliver the asymptotic distribution of the TP weights. Moreover, we consider tests about the elements of the TP and derive the asymptotic distribution of the test statistic under the null and alternative hypotheses. In a simulation study, we compare the asymptotic distribution of the TP weights with the exact finite sample density. We also compare the high-dimensional asymptotic test with an exact small sample test. We document a good performance of the asymptotic approximations except for small sample sizes combined with c close to one. In an empirical study, we analyse the TP weights in portfolios containing stocks from the S&P 500 index.

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“…Abolarinwa et al (2020) also found that firms that were effective in formulating and implementing strategies were early adopters of disruptive technologies, leading to superior performance. Other researchers (Cheng et al, 2014;Yusuf et al, 2012;Luo et al, 2015;Bodnar et al, 2018) found that effective strategy implementation leads to numerous desirable outcomes in areas such as stakeholder management, corporate social responsibility, supplier management, and asset utilisation. In turn, gains in these areas tend to improve firm financial position, enabling them to withstand adverse economic ebbs (Daksa et al, 2018).…”

Section: The Effects Of Strategy Implementation On Financial Performa...mentioning

confidence: 99%

Linking strategy implementation to financial performance and firm survival in women- owned small to medium enterprises

Mudara

Mafini

2022

Journal of Contemporary Management

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Purpose of the study: Women-owned SMEs in South Africa are plagued with numerous challenges that contribute to the slow growth and failure of their businesses. Among these challenges are inadequate managerial skills related to the formulation and implementation of suitable strategies. This study aimed to determine the influence of strategy implementation on financial performance and the survival of womenowned SMEs in Gauteng province, South Africa.Design/methodology/approach: The study followed a quantitative method in which a six-section survey questionnaire was administered to 347 women entrepreneurs conveniently selected from SMEs in Gauteng Province. Statistical analyses techniques applied in the study included descriptive statistics, exploratory factor analysis, Pearson correlations and regression analysis.Findings: Corporate and business strategies predicted financial performance. However, operational strategy was statistically insignificant. Additionally, all three strategies, namely operational, business, and corporate, significantly predicted SME survival. Financial performance predicted SME survival.Recommendations/value: Efforts to alleviate the decline and failure of women-owned SMEs should centre on imparting the owners with business management skills that primarily include an understanding of the formulation and implementation of strategy. Future research suggestions include extending the study to maleowned SMEs, other provinces of South Africa and the inclusion of non-registered SMEs.Managerial implications: Strategy formulation and implementation remain important anchors for the success of women-owned SMEs in South Africa. ZJ MUDARA CMAFINILinking strategy implementation to financial performance and firm survival in women-owned small to medium enterprises

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Determination and estimation of risk aversion coefficients

Cited by 17 publications

References 37 publications

Regime Switching Entropic Risk Measures on Crude Oil Pricing

Regime Switching Entropic Risk Measures on Crude Oil Pricing

Statistical inference for the tangency portfolio in high dimension

Linking strategy implementation to financial performance and firm survival in women- owned small to medium enterprises

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