Nonparametric risk management and implied risk aversion

DOI10.1016/S0304-4076(99)00016-0zbMath0952.62091OpenAlexW3122467650MaRDI QIDQ1969813

Publication date: 11 January 2001

Published in: Journal of Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/s0304-4076(99)00016-0

zbMATH Keywords

risk aversion representative agent preferences value-at risk

Mathematics Subject Classification ID

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Uses Software

KernSmooth

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