Option‐Implied Risk Aversion Estimates
利用期权价格中的风险中性概率密度，结合效用函数估计代表性投资者的相对风险厌恶系数，发现该系数在不同市场和效用函数下一致，且随预测期延长而下降，高波动时期更低。
ABSTRACT Using a utility function to adjust the risk‐neutral PDF embedded in cross sections of options, we obtain measures of the risk aversion implied in option prices. Using FTSE 100 and S&P 500 options, and both power and exponential‐utility functions, we estimate the representative agent's relative risk aversion (RRA) at different horizons. The estimated coefficients of RRA are all reasonable. The RRA estimates are remarkably consistent across utility functions and across markets for given horizons. The degree of RRA declines broadly with the forecast horizon and is lower during periods of high market volatility.