Calibrating risk preferences with the generalized capital asset pricing model based on mixed conditional value-at-risk deviation

IF 0.3 4区经济学 Q4 BUSINESS, FINANCE

Journal of Risk Pub Date : 2012-09-01 DOI:10.21314/JOR.2012.249

Konstantin Kalinchenko, S. Uryasev, R. Rockafellar

引用次数: 15

Abstract

The generalized capital asset pricing model based on mixed conditional valueat-risk (CVaR) deviation is used for calibrating the risk preferences of investors. Risk preferences are determined by coefficients in the mixed CVaR deviation. The corresponding new generalized beta is designed to capture the tail performance of S&P 500 returns. Calibration of the coefficients is done by extracting information about risk preferences from put-option prices on the S&P 500. Actual market option prices are matched with the estimated prices from the pricing equation based on the generalized beta. Calibration is done for 153 moments in time with intervals of approximately one month. Results demonstrate that the risk preferences of investors change over time, reflecting investors’ concern about potential tail losses. A new index of fear is introduced, calculated as a sum of several coefficients in the mixed CVaR deviation.

查看原文本刊更多论文

基于风险偏离混合条件值的广义资本资产定价模型校正风险偏好

采用基于混合条件价值风险偏差的广义资本资产定价模型来校准投资者的风险偏好。风险偏好由混合CVaR偏差中的系数决定。相应的新广义贝塔被设计用来捕捉标准普尔500指数回报的尾部表现。系数的校准是通过从标准普尔500指数的看跌期权价格中提取风险偏好信息来完成的。实际市场期权价格与基于广义贝塔的定价方程的估计价格相匹配。校正时间为153个瞬间，间隔约为一个月。结果表明，投资者的风险偏好随时间变化，反映了投资者对潜在尾部损失的担忧。引入了一种新的恐惧指数，用混合CVaR偏差中几个系数的和来计算。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

求助全文

约1分钟内获得全文求助全文

来源期刊

Journal of Risk BUSINESS, FINANCE-

CiteScore

1.00

自引率

14.30%

发文量

期刊介绍： This international peer-reviewed journal publishes a broad range of original research papers which aim to further develop understanding of financial risk management. As the only publication devoted exclusively to theoretical and empirical studies in financial risk management, The Journal of Risk promotes far-reaching research on the latest innovations in this field, with particular focus on the measurement, management and analysis of financial risk. The Journal of Risk is particularly interested in papers on the following topics: Risk management regulations and their implications, Risk capital allocation and risk budgeting, Efficient evaluation of risk measures under increasingly complex and realistic model assumptions, Impact of risk measurement on portfolio allocation, Theoretical development of alternative risk measures, Hedging (linear and non-linear) under alternative risk measures, Financial market model risk, Estimation of volatility and unanticipated jumps, Capital allocation.