Metadaten







Promotionsordnung



Kumulative Dissertation



Titel


Determination of Risk Aversion and Moment-Preferences: A Comparison of Econometric Models

Titel (englisch)



Autor/Autorin


Wenner, Fabian

2. Autor/Autorin



Geburtsdatum


01.02.1972

Geburtsort


Frankfurt/Main, Deutschland

Matrikelnummer



Schlagwörter (GND)


USA; Entscheidungsmodell; Risikoverhalten; Portfolio selection

DDC (Dewey Decimal Classification)


Wirtschaft - 330

Freie Stichwörter (deutsch)


Risikoaversion; Entscheidung bei Risiko; Wahrgenommenes Risiko; Investitionsrisiko; Risiko / Messung; Risiko; Risikoverteilung; Risikoanalyse; Portfolio-Investition; Investition; Private Investition; Investitionstheorie; Kapitalanlage; Risikoaversion; Anlageentscheid; Investitionsentscheidung; Risikoneigung; Risikotoleranz; Multinomiales Logit Modell

Freie Stichwörter (englisch)


Risk; risk aversion; asset allocation; finance; decision processes; risk-taking behavior; behavioral finance; study of risk; risk-taking in an investment context; individual's tolerance for risk; standard deviation of returns; downside risk; shortfall risk; loss aversion; risk - return preferences of investors; consideration of higher moments of return distributions; human risk-taking behavior; behavioral decision theory; modern theory of capital markets; how much stocks; multinomial logit model

Kurzfassung



Kurzfassung (englisch)


The thesis at hand shows how to determine individual risk aversion with different discrete choice models, with gambles and jointly with both methods. The methods developed aim at allocating the investor's free part of wealth.
In the first part empirical estimation of selected socioeconomic factor coefficients that determine risk preference is carried out by OLS, WLS, Tobit, Ordered Logit and Multinomial Logit models. The Survey of Consumer Finances 1995 and 1998 proves to be the ideal data sample for this purpose.
The preliminary analysis of the first part is carried out assuming the traditional two-moment mean-variance framework. While demographic factors such as age, gender and marital status prove insignificant, different saving reasons, the investment horizon and expectations about the economic development - among others - allow a stepwise out-of-sample assignment precision of up to 90%.
In the second part the traditional asset pricing model analysis is extended to incorporate the third moment, skewness. A joint estimation employing observed and stated preferences assists in determining an individual investor's preference pattern regarding the trade-offs between the three moments - mean, variance and skewness. Investors favor positive skewness and some will accept a lower mean or higher return variance to obtain higher positive skewness.
The study shows how to translate these preference patterns into option strategies that are added to the portfolio. For the skewness analysis the traditional Pratt-Arrow measure of risk aversion is extended to a three moment risk premium.
The study exemplifies how to proceed when determining risk aversion on an individual basis. It shows how to create a questionnaire based on hypotheses, it examines what model to use for what data basis in order to achieve the highest level of prediction and it illustrates how to include higher moment preferences within this framework.

Universität


Universität St.Gallen

Referent/Referentin


Spremann, Klaus (Prof. Dr.)

Korreferent/Korreferentin


Keel, Alex (Prof. Dr.)

Erweitertes Diss. Komitee



Fachgebiet


Wirtschaftswissenschaften

Sprache


ENG

Promotionstermin (dd.mm.yyyy)


02.04.2002

Erstellungsjahr (yyyy)


2001

Dokumentart


Dissertation

Format


PDF

Dissertationsnummer


2606

Quelle



PDF-File


dis2606.pdf

Dokumentverknüpfung


Link zu diesem Dokument







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