Sampling Distribution of the Relative Risk Aversion Estimator: Theory and Applications

DOI10.1142/9789811202391_0065MaRDI QIDQ5139490zbMATH OpenOpenAlexFDO

Authors Marvin J. Karson, David C. Cheng, Cheng-Few Lee

Publication date 9 December 2020

Published in Handbook of Financial Econometrics, Mathematics, Statistics, and Machine Learning (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1142/9789811202391_0065

zbMATH Keywords

maximum likelihood estimatorminimum variance unbiased estimatornoncentral \(t\) distributionrelative risk aversion distribution

Mathematics Subject Classification ID

Utility theory (91B16) Financial markets (91G15)

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