Option-Implied Preference with Model Uncertainty

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dc.contributor.authorKang, Byung Jinko
dc.contributor.authorKim, Tong Sukko
dc.contributor.authorLee, Hyo Seobko
dc.date.accessioned2014-08-29T02:42:28Z-
dc.date.available2014-08-29T02:42:28Z-
dc.date.created2014-05-20-
dc.date.created2014-05-20-
dc.date.issued2014-06-
dc.identifier.citationJOURNAL OF FUTURES MARKETS, v.34, no.6, pp.498 - 515-
dc.identifier.issn0270-7314-
dc.identifier.urihttp://hdl.handle.net/10203/189008-
dc.description.abstractWe present a theoretical model of option-implied preferences with model uncertainty. An option-implied risk aversion function with model uncertainty has a higher and a steeper level of risk aversion than an investor without model uncertainty. Based on the theoretical model, we try to extract empirical option-implied risk aversion functions with S&P 500 index options. Our empirical option-implied risk aversion with model uncertainty and option-implied uncertainty premium show a decreasing and a smirk pattern across wealth. After subprime crisis, the shape of option-implied risk aversion function with model uncertainty is not quite different, and both the level of option-implied risk aversion function and the option-implied uncertainty premium become slightly lowered. (c) 2014 Wiley Periodicals, Inc. Jrl Fut Mark 34:498-515, 2014-
dc.languageEnglish-
dc.publisherWILEY-BLACKWELL-
dc.subjectROBUST PORTFOLIO RULES-
dc.subjectRISK-AVERSION-
dc.subjectKNIGHTIAN UNCERTAINTY-
dc.subjectPRICES-
dc.subjectEQUILIBRIUM-
dc.subjectCONSUMPTION-
dc.subjectVOLATILITY-
dc.subjectAMBIGUITY-
dc.subjectRETURNS-
dc.subjectUTILITY-
dc.titleOption-Implied Preference with Model Uncertainty-
dc.typeArticle-
dc.identifier.wosid000334658900002-
dc.identifier.scopusid2-s2.0-84899458854-
dc.type.rimsART-
dc.citation.volume34-
dc.citation.issue6-
dc.citation.beginningpage498-
dc.citation.endingpage515-
dc.citation.publicationnameJOURNAL OF FUTURES MARKETS-
dc.identifier.doi10.1002/fut.21660-
dc.embargo.liftdate9999-12-31-
dc.embargo.terms9999-12-31-
dc.contributor.localauthorKim, Tong Suk-
dc.contributor.nonIdAuthorKang, Byung Jin-
dc.contributor.nonIdAuthorLee, Hyo Seob-
dc.type.journalArticleArticle-
dc.subject.keywordPlusROBUST PORTFOLIO RULES-
dc.subject.keywordPlusRISK-AVERSION-
dc.subject.keywordPlusKNIGHTIAN UNCERTAINTY-
dc.subject.keywordPlusPRICES-
dc.subject.keywordPlusEQUILIBRIUM-
dc.subject.keywordPlusCONSUMPTION-
dc.subject.keywordPlusVOLATILITY-
dc.subject.keywordPlusAMBIGUITY-
dc.subject.keywordPlusRETURNS-
dc.subject.keywordPlusUTILITY-
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