{"id":"https://openalex.org/W2803504891","doi":"https://doi.org/10.1007/s10287-018-0317-x","title":"Determination and estimation of risk aversion coefficients","display_name":"Determination and estimation of risk aversion coefficients","publication_year":2018,"publication_date":"2018-05-24","ids":{"openalex":"https://openalex.org/W2803504891","doi":"https://doi.org/10.1007/s10287-018-0317-x","mag":"2803504891"},"language":"en","primary_location":{"id":"doi:10.1007/s10287-018-0317-x","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-018-0317-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-018-0317-x.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"type":"article","indexed_in":["crossref"],"open_access":{"is_oa":true,"oa_status":"hybrid","oa_url":"https://link.springer.com/content/pdf/10.1007/s10287-018-0317-x.pdf","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5019806834","display_name":"Taras Bodnar","orcid":"https://orcid.org/0000-0001-7855-8221"},"institutions":[{"id":"https://openalex.org/I161593684","display_name":"Stockholm University","ror":"https://ror.org/05f0yaq80","country_code":"SE","type":"education","lineage":["https://openalex.org/I161593684"]}],"countries":["SE"],"is_corresponding":false,"raw_author_name":"Taras Bodnar","raw_affiliation_strings":["Department of Mathematics, Stockholm University, Roslagsv\u00e4gen 101, 10691, Stockholm, Sweden"],"raw_orcid":"https://orcid.org/0000-0001-7855-8221","affiliations":[{"raw_affiliation_string":"Department of Mathematics, Stockholm University, Roslagsv\u00e4gen 101, 10691, Stockholm, Sweden","institution_ids":["https://openalex.org/I161593684"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5080712933","display_name":"Yarema Okhrin","orcid":"https://orcid.org/0000-0003-4704-5233"},"institutions":[{"id":"https://openalex.org/I179225836","display_name":"University of Augsburg","ror":"https://ror.org/03p14d497","country_code":"DE","type":"education","lineage":["https://openalex.org/I179225836"]}],"countries":["DE"],"is_corresponding":true,"raw_author_name":"Yarema Okhrin","raw_affiliation_strings":["Department of Statistics, University of Augsburg, Universitaetsstrasse 16, 86159, Augsburg, Germany"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Statistics, University of Augsburg, Universitaetsstrasse 16, 86159, Augsburg, Germany","institution_ids":["https://openalex.org/I179225836"]}]},{"author_position":"middle","author":{"id":"https://openalex.org/A5112492326","display_name":"Valdemar Vitlinskyy","orcid":null},"institutions":[{"id":"https://openalex.org/I57156483","display_name":"Kyiv National Economic University named after Vadym Hetman","ror":"https://ror.org/019z71x08","country_code":"UA","type":"education","lineage":["https://openalex.org/I57156483"]}],"countries":["UA"],"is_corresponding":false,"raw_author_name":"Valdemar Vitlinskyy","raw_affiliation_strings":["Department of Economic and Mathematical Modelling, Kyiv National Economic University, Peremoga Avenue 54/1, Kiev, 03680, Ukraine"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Economic and Mathematical Modelling, Kyiv National Economic University, Peremoga Avenue 54/1, Kiev, 03680, Ukraine","institution_ids":["https://openalex.org/I57156483"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5039649410","display_name":"Taras Zabolotskyy","orcid":"https://orcid.org/0000-0003-0524-0428"},"institutions":[{"id":"https://openalex.org/I200280692","display_name":"Lviv University","ror":"https://ror.org/01s7y5e82","country_code":"UA","type":"education","lineage":["https://openalex.org/I200280692"]}],"countries":["UA"],"is_corresponding":false,"raw_author_name":"Taras Zabolotskyy","raw_affiliation_strings":["Department of Programming, Ivan Franko Lviv National University, Universytetska str. 1, Lviv, 79000, Ukraine"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Department of Programming, Ivan Franko Lviv National University, Universytetska str. 1, Lviv, 79000, Ukraine","institution_ids":["https://openalex.org/I200280692"]}]}],"institutions":[],"countries_distinct_count":3,"institutions_distinct_count":4,"corresponding_author_ids":["https://openalex.org/A5080712933"],"corresponding_institution_ids":["https://openalex.org/I179225836"],"apc_list":{"value":2290,"currency":"EUR","value_usd":2890},"apc_paid":{"value":2290,"currency":"EUR","value_usd":2890},"fwci":1.9858,"has_fulltext":true,"cited_by_count":21,"citation_normalized_percentile":{"value":0.87384765,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":98},"biblio":{"volume":"15","issue":"2","first_page":"297","last_page":"317"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11413","display_name":"Risk and Portfolio Optimization","score":0.9993000030517578,"subfield":{"id":"https://openalex.org/subfields/1803","display_name":"Management Science and Operations Research"},"field":{"id":"https://openalex.org/fields/18","display_name":"Decision Sciences"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9943000078201294,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10007","display_name":"Monetary Policy and Economic Impact","score":0.9939000010490417,"subfield":{"id":"https://openalex.org/subfields/2000","display_name":"General Economics, Econometrics and Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/risk-aversion","display_name":"Risk aversion (psychology)","score":0.7537914514541626},{"id":"https://openalex.org/keywords/exponential-utility","display_name":"Exponential utility","score":0.6484789848327637},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.5963208675384521},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5323494076728821},{"id":"https://openalex.org/keywords/value-at-risk","display_name":"Value at risk","score":0.4948992133140564},{"id":"https://openalex.org/keywords/expected-utility-hypothesis","display_name":"Expected utility hypothesis","score":0.4563203454017639},{"id":"https://openalex.org/keywords/mathematical-optimization","display_name":"Mathematical optimization","score":0.4530890882015228},{"id":"https://openalex.org/keywords/quadratic-equation","display_name":"Quadratic equation","score":0.45028501749038696},{"id":"https://openalex.org/keywords/exponential-function","display_name":"Exponential function","score":0.42183905839920044},{"id":"https://openalex.org/keywords/multivariate-statistics","display_name":"Multivariate statistics","score":0.41475117206573486},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.41474443674087524},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.3245691955089569},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.2619951367378235},{"id":"https://openalex.org/keywords/mathematical-economics","display_name":"Mathematical economics","score":0.24682149291038513},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.20341375470161438},{"id":"https://openalex.org/keywords/risk-management","display_name":"Risk management","score":0.13918793201446533}],"concepts":[{"id":"https://openalex.org/C129915516","wikidata":"https://www.wikidata.org/wiki/Q17083550","display_name":"Risk aversion (psychology)","level":3,"score":0.7537914514541626},{"id":"https://openalex.org/C2778475510","wikidata":"https://www.wikidata.org/wiki/Q5421533","display_name":"Exponential utility","level":2,"score":0.6484789848327637},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.5963208675384521},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5323494076728821},{"id":"https://openalex.org/C94128290","wikidata":"https://www.wikidata.org/wiki/Q963287","display_name":"Value at risk","level":3,"score":0.4948992133140564},{"id":"https://openalex.org/C205706631","wikidata":"https://www.wikidata.org/wiki/Q2319304","display_name":"Expected utility hypothesis","level":2,"score":0.4563203454017639},{"id":"https://openalex.org/C126255220","wikidata":"https://www.wikidata.org/wiki/Q141495","display_name":"Mathematical optimization","level":1,"score":0.4530890882015228},{"id":"https://openalex.org/C129844170","wikidata":"https://www.wikidata.org/wiki/Q41299","display_name":"Quadratic equation","level":2,"score":0.45028501749038696},{"id":"https://openalex.org/C151376022","wikidata":"https://www.wikidata.org/wiki/Q168698","display_name":"Exponential function","level":2,"score":0.42183905839920044},{"id":"https://openalex.org/C161584116","wikidata":"https://www.wikidata.org/wiki/Q1952580","display_name":"Multivariate statistics","level":2,"score":0.41475117206573486},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.41474443674087524},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.3245691955089569},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.2619951367378235},{"id":"https://openalex.org/C144237770","wikidata":"https://www.wikidata.org/wiki/Q747534","display_name":"Mathematical economics","level":1,"score":0.24682149291038513},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.20341375470161438},{"id":"https://openalex.org/C32896092","wikidata":"https://www.wikidata.org/wiki/Q189447","display_name":"Risk management","level":2,"score":0.13918793201446533},{"id":"https://openalex.org/C187736073","wikidata":"https://www.wikidata.org/wiki/Q2920921","display_name":"Management","level":1,"score":0.0},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.0},{"id":"https://openalex.org/C2524010","wikidata":"https://www.wikidata.org/wiki/Q8087","display_name":"Geometry","level":1,"score":0.0},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.0}],"mesh":[],"locations_count":4,"locations":[{"id":"doi:10.1007/s10287-018-0317-x","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-018-0317-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-018-0317-x.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},{"id":"pmh:oai:uni-augsburg.opus-bayern.de:47374","is_oa":true,"landing_page_url":"https://nbn-resolving.org/urn:nbn:de:bvb:384-opus4-473749","pdf_url":"https://opus.bibliothek.uni-augsburg.de/opus4/files/47374/47374.pdf","source":{"id":"https://openalex.org/S4306400930","display_name":"OPUS (Augsburg University)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I119916105","host_organization_name":"Augsburg University","host_organization_lineage":["https://openalex.org/I119916105"],"host_organization_lineage_names":[],"type":"repository"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"article"},{"id":"pmh:oai:ir.kneu.edu.ua:2010/36631","is_oa":false,"landing_page_url":"https://ir.kneu.edu.ua:443/handle/2010/36631","pdf_url":null,"source":{"id":"https://openalex.org/S4306402565","display_name":"Institutional Repository of Vadym Hetman Kyiv National Economic University iRKNEU (Kyiv National Economic University named after Vadym Hetman)","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I57156483","host_organization_name":"Kyiv National Economic University named after Vadym Hetman","host_organization_lineage":["https://openalex.org/I57156483"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"Article"},{"id":"pmh:oai:RePEc:spr:comgts:v:15:y:2018:i:2:d:10.1007_s10287-018-0317-x","is_oa":false,"landing_page_url":"http://link.springer.com/10.1007/s10287-018-0317-x","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"doi:10.1007/s10287-018-0317-x","is_oa":true,"landing_page_url":"https://doi.org/10.1007/s10287-018-0317-x","pdf_url":"https://link.springer.com/content/pdf/10.1007/s10287-018-0317-x.pdf","source":{"id":"https://openalex.org/S28822639","display_name":"Computational Management Science","issn_l":"1619-697X","issn":["1619-697X","1619-6988"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310319900","host_organization_name":"Springer Science+Business Media","host_organization_lineage":["https://openalex.org/P4310319900","https://openalex.org/P4310319965"],"host_organization_lineage_names":["Springer Science+Business Media","Springer Nature"],"type":"journal"},"license":"cc-by","license_id":"https://openalex.org/licenses/cc-by","version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"Computational Management Science","raw_type":"journal-article"},"sustainable_development_goals":[],"awards":[],"funders":[{"id":"https://openalex.org/F4320320879","display_name":"Deutsche Forschungsgemeinschaft","ror":"https://ror.org/018mejw64"},{"id":"https://openalex.org/F4320325669","display_name":"Stockholms Universitet","ror":"https://ror.org/05f0yaq80"}],"has_content":{"grobid_xml":true,"pdf":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2803504891.pdf","grobid_xml":"https://content.openalex.org/works/W2803504891.grobid-xml"},"referenced_works_count":43,"referenced_works":["https://openalex.org/W41409100","https://openalex.org/W112151146","https://openalex.org/W568214519","https://openalex.org/W568726942","https://openalex.org/W1969429114","https://openalex.org/W1973458764","https://openalex.org/W1974710265","https://openalex.org/W1984697146","https://openalex.org/W1986030799","https://openalex.org/W1990653470","https://openalex.org/W1993599556","https://openalex.org/W2025300343","https://openalex.org/W2027174002","https://openalex.org/W2034485809","https://openalex.org/W2034625206","https://openalex.org/W2037329921","https://openalex.org/W2042181797","https://openalex.org/W2047118428","https://openalex.org/W2048767445","https://openalex.org/W2059627964","https://openalex.org/W2062229217","https://openalex.org/W2063023421","https://openalex.org/W2071449040","https://openalex.org/W2076083594","https://openalex.org/W2089178963","https://openalex.org/W2121183216","https://openalex.org/W2131938998","https://openalex.org/W2133331330","https://openalex.org/W2134919172","https://openalex.org/W2137428051","https://openalex.org/W2144846366","https://openalex.org/W2145768101","https://openalex.org/W2149990348","https://openalex.org/W2166219456","https://openalex.org/W2169686235","https://openalex.org/W2310516540","https://openalex.org/W2405924492","https://openalex.org/W2472781479","https://openalex.org/W2584122377","https://openalex.org/W2994310245","https://openalex.org/W3022492005","https://openalex.org/W3023157742","https://openalex.org/W3122795563"],"related_works":["https://openalex.org/W2165263141","https://openalex.org/W4250007077","https://openalex.org/W3124026440","https://openalex.org/W2015877203","https://openalex.org/W4240615594","https://openalex.org/W3124992686","https://openalex.org/W2916644340","https://openalex.org/W3123087267","https://openalex.org/W2914455018","https://openalex.org/W3121561916"],"abstract_inverted_index":{"In":[0],"the":[1,17,21,26,37,43,56,63,72,75,89,99,102,109,114,121,131,136],"paper":[2],"we":[3,119],"consider":[4],"two":[5],"types":[6],"of":[7,62,77,91,101,104,135],"utility":[8,19,34,138],"functions":[9,35,61],"often":[10],"used":[11,112],"in":[12,145],"portfolio":[13],"allocation":[14],"problems,":[15],"i.e.":[16],"exponential":[18],"and":[20,84,126],"quadratic":[22],"utility.":[23],"We":[24,96],"link":[25],"resulting":[27],"optimal":[28,39],"portfolios":[29,40],"obtained":[30],"by":[31],"maximizing":[32],"these":[33],"to":[36,51,88],"corresponding":[38],"based":[41],"on":[42,108],"minimum":[44],"value-at-risk":[45],"(VaR)":[46],"approach.":[47],"This":[48],"allows":[49],"us":[50],"provide":[52],"analytic":[53],"expressions":[54],"for":[55,113,130],"risk":[57,105,132],"aversion":[58,106,133],"coefficients":[59,103,134],"as":[60],"VaR":[64],"level.":[65],"The":[66,140],"results":[67,142],"are":[68,86,143],"initially":[69],"derived":[70],"under":[71],"assumption":[73],"that":[74,98],"vector":[76],"asset":[78],"returns":[79],"is":[80],"multivariate":[81],"normally":[82],"distributed":[83],"they":[85],"generalized":[87],"class":[90],"elliptically":[92],"contoured":[93],"distributions":[94],"thereafter.":[95],"find":[97],"choice":[100],"depends":[107],"stochastic":[110],"model":[111],"data":[115],"generating":[116],"process.":[117],"Finally,":[118],"take":[120],"parameter":[122],"uncertainty":[123],"into":[124],"account":[125],"present":[127],"confidence":[128],"intervals":[129],"considered":[137],"functions.":[139],"theoretical":[141],"validated":[144],"an":[146],"empirical":[147],"study.":[148]},"counts_by_year":[{"year":2026,"cited_by_count":1},{"year":2025,"cited_by_count":3},{"year":2024,"cited_by_count":4},{"year":2023,"cited_by_count":2},{"year":2022,"cited_by_count":2},{"year":2021,"cited_by_count":6},{"year":2020,"cited_by_count":2},{"year":2019,"cited_by_count":1}],"updated_date":"2025-11-06T03:46:38.306776","created_date":"2025-10-10T00:00:00"}
