A Method for Determining Risk Aversion Functions from Uncertain Market Prices of Risk Articles uri icon

publication date

  • August 2010

start page

  • 84

end page

  • 89

issue

  • 1

volume

  • 47

International Standard Serial Number (ISSN)

  • 0167-6687

Electronic International Standard Serial Number (EISSN)

  • 1873-5959

abstract

  • In Gzyl and Mayoral (2008) we developed a technique to solve the following type of problems: How to determine a risk aversion function equivalent to pricing a risk with a load, or equivalent to pricing different risks by means of the same risk distortion function. The information on which the procedure is based consists of the market prices of the risk. Here we extend that method to cover the case in which there may be uncertainties in the market prices of the risks.