A0822
Title: A review of risk aversion coefficient estimation for quadratic and exponential utility functions: Empirical evidence
Authors: Sachi Dilami Ilangasekara - Linnaeus University (Sweden) [presenting]
Peter Karlsson - Linneaus University (Sweden)
Stanislas Muhinyuza - Linnaeus University (Sweden)
Abstract: The aim is to present a comprehensive review of the methodology used to estimate the risk aversion coefficient, focusing on quadratic and exponential utility functions. It examines the theoretical foundations and practical applications of these utility frameworks under various distributional assumptions of asset returns. Furthermore, it compares different estimators of the risk aversion coefficient, analyzing and assessing their statistical properties under the distributional assumptions considered. A structured comparison is provided to support the selection of appropriate estimators for the risk aversion coefficient, depending on the underlying distribution assumptions and utility framework.
