Option-Implied Risk Aversion Estimates

By Rob Bliss, Nikolaos Panigirtzoglou. 2004

638 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/18239ff5a3230205583ea22a080d6c2a159989af

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Citations in the corpus

Closed-form transformations from risk-neutral to real-world distributions (2007, methodology): “3.1 Parametric risk-transformations As in Bakshi et al (2003) and Bliss and Panigirtzoglou (2004), we assume the representative agent has a power utility function, γ υ γ − = − 1 )( 1xx , 0≥γ but 1≠γ , )log(x= , when 1=γ , with γ the risk aversion parameter.”
Extreme Spectral Risk Measures: An Application to Futures Clearinghouse Margin Requirements (2006, background): “…margin requirements from risk-neutral distributions (RND) and/or implied real distributions that allow one to infer risk aversion from market data (see, for example Ait-Sahalia and Lo (2000), Bliss and Panigirtzoglou (2004), Panigirtzoglou and Skiadopoulos (2004) and Markose and Alentorn (2005)).”
A Simple and Reliable Way to Compute Option-Based Risk-Neutral Distributions (2014, background): “The Breeden-Litzenberger theorem was first stated in Breeden and Litzenberger (1978) and Banz and Miller (1978).”
Mispricing of S&P 500 Index Options (2006, background): “…and Lo (2000) reported violations in 1993 and Rosenberg and Engle (2002) reported violations over the period 1991-1995.4 On the other hand, Bliss and Panigirtzoglou (2004) estimated plausible values for the risk aversion coefficient of the representative agent, albeit under the assumption…”
Semi-nonparametric estimation of the call-option price surface under strike and time-to-expiry no-arbitrage constraints☆ (2015, neutral): “Jackwerth and Rubinstein (1996) and Aı̈t-Sahalia and Lo (1998), for example, compare the state price density implied from option prices across different expiry dates, while Jackwerth (2000) and Bliss and Panigirtzoglou (2004) study the empirical pricing kernel and the implied risk aversion in a simi”
Does risk aversion drive financial crises? Testing the predictive power of empirical indicators (2008, background): “Indicators based on option prices are obtained by comparing risk-neutral probabilities, calculated on options prices, with investors’ subjective probabilities (Tarashev et al., 2003, Scheicher, 2003, Bliss and Panigirtzoglou, 2004, for a survey, see Gai and Vause, 2004).”
Ex Ante Skewness and Expected Stock Returns (2013, positive): “The idea is similar to a procedure in Bliss and Panigirtzoglou (2004), who use the SDF implied by CRRA utility and risk neutral distributions to estimate the subjective probability distribution of two broad-based indices and investigate temporal patterns in risk aversion.”
Short Interest and Aggregate Stock Returns (2016, result): “28This value is consistent with estimates of relative risk aversion from the literature (e.g., Bliss and Panigirtzoglou, 2004).”
An Empirical Portfolio Perspective on Option Pricing Anomalies (2007, background): “Recent contributions to the representative-agent option pricing literature include Ait-Sahalia and Lo (2000), Brown and Jackwerth (2001), Liu et al. (2005), Rosenberg and Engle (2002), and Bliss and Panigirtzoglou (2004).”
State Dependence Can Explain the Risk Aversion Puzzle (2008, background): “Rosenberg and Engle (2002), Garcia, Luger, and Renault (2003), and Bliss and Panigirtzoglou (2004) have estimated preference parameters based on parametric asset pricing models with several specifications of the utility function.”
Improving Portfolio Selection Using Option-Implied Volatility and Skewness (2013, background): “(1996), A t-Sahalia and Lo (1998), Jackwerth (2000), Bliss and Panigirtzoglou (2004) , Panigirt-”
Forecasting with Option-Implied Information (2012, neutral): “Bollerslev et al. (2009), Zhou (2010), and Bekaert et al.”