Utility driven change of measure

We demonstrate how a change of probability measure can be carried out based on the risk preference of a representative investor. Using the stochastic discount factor and the Radon-Nikod´ym derivative, we are able to obtain the risk-neutral measure given a real world measure and a preference structure defined by a utility function. This methodology is then used to attribute the sources of skewness in the risk-neutral measure.

Grantor dc:publisher.institution

School of Economics

Year dc:date.issued

2014

Author dc:creator

• Carolissen, Kendall

Advisors dc:contributor.advisor

• Taylor, David
• McWalter, Thomas

Language dc:language.iso

eng

Handle dc:identifier.uri

http://hdl.handle.net/11427/8517

OAI identifier oai:identifier

oai:open.uct.ac.za:11427/8517