A Generalized Measure of Riskiness

Published Online:https://doi.org/10.1287/mnsc.1110.1373

References

  • Aït-Sahalia Y., Lo A. Nonparametric risk management and implied risk aversion. J. Econometrics (2000) 94(1):9–51CrossrefGoogle Scholar
  • Artzner P., Delbaen F., Eber J., Heath D. Coherent measures of risk. Math. Finance (1999) 9(3):203–228CrossrefGoogle Scholar
  • Aumann R. J., Serrano R. An economic index of riskiness. J. Political Econom. (2008) 116(5):810–836CrossrefGoogle Scholar
  • Bakshi G., Madan D. Spanning and derivative-security valuation. J. Financial Econom. (2000) 55(3):205–238CrossrefGoogle Scholar
  • Bakshi G., Kapadia N., Madan D. Stock return characteristics, skew laws, and the differential pricing of individual equity options. Rev. Financial Stud. (2003) 16(1):101–143CrossrefGoogle Scholar
  • Bakshi G., Panayotov G., Skoulakis G. Improving the predictability of real economic activity and asset returns with forward variances inferred from option portfolios. J. Financial Econom. (2011) 100(3):475–495CrossrefGoogle Scholar
  • Bali T. G., Hovakimian A. Volatility spreads and expected stock returns. Management Sci. (2009) 55(11):1797–1812LinkGoogle Scholar
  • Bollerslev T., Tauchen G., Zhou H. Expected stock returns and variance risk premia. Rev. Financial Stud. (2009) 22(11):4463–4492CrossrefGoogle Scholar
  • Diamond P. A., Stiglitz J. E. Increases in risk and risk aversion. J. Econom. Theory (1974) 8(3):337–360CrossrefGoogle Scholar
  • Fama E. F., MacBeth J. D. Risk, return and equilibrium: Empirical tests. J. Political Econom. (1973) 81(3):607–636CrossrefGoogle Scholar
  • Foster D. P., Hart S. An operational measure of riskiness. J. Political Econom. (2009) 117(5):785–814CrossrefGoogle Scholar
  • Hadar J., William R. Rules for ordering uncertain prospects. Amer. Econom. Rev. (1969) 59(1):25–34Google Scholar
  • Hanoch G., Levy H. The efficiency analysis of choices involving risk. Rev. Econom. Stud. (1969) 36(107):335–346CrossrefGoogle Scholar
  • Hodrick R. Dividend yields and expected stock returns: Alternative procedures for inference and measurement. Rev. Financial Stud. (1992) 5(3):357–386CrossrefGoogle Scholar
  • Merton R. C. An intertemporal asset pricing model. Econometrica (1973) 41(5):867–887CrossrefGoogle Scholar
  • Newey W. K., West K. D. A simple, positive semi-definite, heteroskedasticity and autocorrelation consistent covariance matrix. Econometrica (1987) 55(3):703–708CrossrefGoogle Scholar
  • Rothschild M., Stiglitz J. Increasing risk I: A definition. J. Econom. Theory (1970) 2(3):225–243CrossrefGoogle Scholar
  • Rothschild M., Stiglitz J. Increasing risk II: Its economic consequences. J. Econom. Theory (1971) 3(1):66–84CrossrefGoogle Scholar
  • Xing Y., Zhang X., Zhao R. What does the individual option volatility smirk tell us about future equity returns? J. Financial Quant. Anal. (2010) 45(3):641–662CrossrefGoogle Scholar
INFORMS site uses cookies to store information on your computer. Some are essential to make our site work; Others help us improve the user experience. By using this site, you consent to the placement of these cookies. Please read our Privacy Statement to learn more.