{"title":"Estimating the uncertainty of relative risk aversion","authors":"Karl-Heinz Tödter","doi":"10.1080/17446540701335474","DOIUrl":null,"url":null,"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.","PeriodicalId":345744,"journal":{"name":"Applied Financial Economics Letters","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2008-01-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"18","resultStr":null,"platform":"Semanticscholar","paperid":null,"PeriodicalName":"Applied Financial Economics Letters","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.1080/17446540701335474","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
引用次数: 18
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.
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