Riders on the storm : a risk preference profiling on investors who rode the subprime financial storm
Autor(a) principal: | |
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Data de Publicação: | 2017 |
Tipo de documento: | Dissertação |
Idioma: | eng |
Título da fonte: | Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
Texto Completo: | http://hdl.handle.net/10400.14/23363 |
Resumo: | This dissertation estimates risk-neutral densities from 3-week contracts on the S&P 500 index in an attempt to characterize the underlying index in a risk-neutral environment through the statistics derived from the implied distributions for two samples: pre-subprime-crisis and crisis. The distributions are estimated using mixture of lognormal densities, generalized beta distribution of the second kind and lognormal-polynomials. The mean values are similar in the three methods employed, along with the standard deviation. Moreover, the distributions tend to be negatively skewed and leptokurtic for both samples. The constant relative risk aversion coefficient is estimated for both samples assuming the power utility is well representative of investors’ behavior. The method employed was the mixture of lognormal distributions under both expected utility (EU) and rank-dependent utility assumptions (RDEU). The obtained coefficients for the pre-crisis sample were: 2,81 (EU) and 4,41 (RDEU) while in the crisis sample, the coefficients obtained were: 0,47 (EU) and -1,94 (RDEU). In line with literature, by applying the real-world transformation (RDEU) to the mixture of lognormal distribution estimated RND produced distributions with higher mean, lower standard deviation, less negatively skewed and with lower Kurtosis. |
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Riders on the storm : a risk preference profiling on investors who rode the subprime financial stormDomínio/Área Científica::Ciências Sociais::Economia e GestãoThis dissertation estimates risk-neutral densities from 3-week contracts on the S&P 500 index in an attempt to characterize the underlying index in a risk-neutral environment through the statistics derived from the implied distributions for two samples: pre-subprime-crisis and crisis. The distributions are estimated using mixture of lognormal densities, generalized beta distribution of the second kind and lognormal-polynomials. The mean values are similar in the three methods employed, along with the standard deviation. Moreover, the distributions tend to be negatively skewed and leptokurtic for both samples. The constant relative risk aversion coefficient is estimated for both samples assuming the power utility is well representative of investors’ behavior. The method employed was the mixture of lognormal distributions under both expected utility (EU) and rank-dependent utility assumptions (RDEU). The obtained coefficients for the pre-crisis sample were: 2,81 (EU) and 4,41 (RDEU) while in the crisis sample, the coefficients obtained were: 0,47 (EU) and -1,94 (RDEU). In line with literature, by applying the real-world transformation (RDEU) to the mixture of lognormal distribution estimated RND produced distributions with higher mean, lower standard deviation, less negatively skewed and with lower Kurtosis.Nesta dissertação, estimam-se risk-neutral densities a partir de derivados sobre o índice S&P 500 para dois períodos: pré-crise e crise. Com o objetivo de descrever o impacto da crise do subprime no mercado americano. As distribuições são extraídas usando três métodos diferentes: mistura de distribuições log-normais, distribuição beta generalizada do segundo tipo e lognormal- polinomiais. Da aplicação das três metodologias obtêm-se médias e desvios-padrão semelhantes. As distribuições obtidas tendem a ter skewness negativa e um valor de kurtosis superior a 3. O coeficiente de aversão ao risco é estimado para ambos os períodos assumindo que a função de utilidade representativa é a power utility. O método utilizado foi a mistura de log-normais assumindo Expected utility (EU) e rank-dependent expected utility (RDEU). Os coeficientes estimados foram de 2,81 (EU) e 4,41 (RDEU) para o período pré-crise. Para o período de crise os valores obtidos foram de 0,47 (EU) e -1,94 (RDEU). Finalmente, ao transformar as Riskneutral densities em Real-world densities, obtem-se distribuições com média mais elevada, desvio-padrão mais baixo, skewness menos negativa e kurtosis mais baixa, estando estas conclusões de acordo com o exposto na literatura.Guedes, José Filipe Garcia CorrêaVeritati - Repositório Institucional da Universidade Católica PortuguesaFernandes, Gonçalo Saramago Marchão Silva2017-11-14T11:52:42Z2017-10-1720172017-10-17T00:00:00Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/masterThesisapplication/pdfhttp://hdl.handle.net/10400.14/23363TID:201749009enginfo:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-07-12T17:29:26Zoai:repositorio.ucp.pt:10400.14/23363Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T18:19:16.164762Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse |
dc.title.none.fl_str_mv |
Riders on the storm : a risk preference profiling on investors who rode the subprime financial storm |
title |
Riders on the storm : a risk preference profiling on investors who rode the subprime financial storm |
spellingShingle |
Riders on the storm : a risk preference profiling on investors who rode the subprime financial storm Fernandes, Gonçalo Saramago Marchão Silva Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
title_short |
Riders on the storm : a risk preference profiling on investors who rode the subprime financial storm |
title_full |
Riders on the storm : a risk preference profiling on investors who rode the subprime financial storm |
title_fullStr |
Riders on the storm : a risk preference profiling on investors who rode the subprime financial storm |
title_full_unstemmed |
Riders on the storm : a risk preference profiling on investors who rode the subprime financial storm |
title_sort |
Riders on the storm : a risk preference profiling on investors who rode the subprime financial storm |
author |
Fernandes, Gonçalo Saramago Marchão Silva |
author_facet |
Fernandes, Gonçalo Saramago Marchão Silva |
author_role |
author |
dc.contributor.none.fl_str_mv |
Guedes, José Filipe Garcia Corrêa Veritati - Repositório Institucional da Universidade Católica Portuguesa |
dc.contributor.author.fl_str_mv |
Fernandes, Gonçalo Saramago Marchão Silva |
dc.subject.por.fl_str_mv |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
topic |
Domínio/Área Científica::Ciências Sociais::Economia e Gestão |
description |
This dissertation estimates risk-neutral densities from 3-week contracts on the S&P 500 index in an attempt to characterize the underlying index in a risk-neutral environment through the statistics derived from the implied distributions for two samples: pre-subprime-crisis and crisis. The distributions are estimated using mixture of lognormal densities, generalized beta distribution of the second kind and lognormal-polynomials. The mean values are similar in the three methods employed, along with the standard deviation. Moreover, the distributions tend to be negatively skewed and leptokurtic for both samples. The constant relative risk aversion coefficient is estimated for both samples assuming the power utility is well representative of investors’ behavior. The method employed was the mixture of lognormal distributions under both expected utility (EU) and rank-dependent utility assumptions (RDEU). The obtained coefficients for the pre-crisis sample were: 2,81 (EU) and 4,41 (RDEU) while in the crisis sample, the coefficients obtained were: 0,47 (EU) and -1,94 (RDEU). In line with literature, by applying the real-world transformation (RDEU) to the mixture of lognormal distribution estimated RND produced distributions with higher mean, lower standard deviation, less negatively skewed and with lower Kurtosis. |
publishDate |
2017 |
dc.date.none.fl_str_mv |
2017-11-14T11:52:42Z 2017-10-17 2017 2017-10-17T00:00:00Z |
dc.type.status.fl_str_mv |
info:eu-repo/semantics/publishedVersion |
dc.type.driver.fl_str_mv |
info:eu-repo/semantics/masterThesis |
format |
masterThesis |
status_str |
publishedVersion |
dc.identifier.uri.fl_str_mv |
http://hdl.handle.net/10400.14/23363 TID:201749009 |
url |
http://hdl.handle.net/10400.14/23363 |
identifier_str_mv |
TID:201749009 |
dc.language.iso.fl_str_mv |
eng |
language |
eng |
dc.rights.driver.fl_str_mv |
info:eu-repo/semantics/openAccess |
eu_rights_str_mv |
openAccess |
dc.format.none.fl_str_mv |
application/pdf |
dc.source.none.fl_str_mv |
reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação instacron:RCAAP |
instname_str |
Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
instacron_str |
RCAAP |
institution |
RCAAP |
reponame_str |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
collection |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) |
repository.name.fl_str_mv |
Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação |
repository.mail.fl_str_mv |
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1799131887590965248 |