Uncertainty Premia for Small and Large Risks

Martin Puhl; Pavel G. Savor; Mungo Ivor Wilson

doi:10.2139/ssrn.2597728

Uncertainty Premia for Small and Large Risks

Martin Puhl
, Pavel G. Savor
, Mungo Ivor Wilson

Research output: Contribution to journal › Article › peer-review

Original language	American English
Journal	Working Paper
DOIs	https://doi.org/10.2139/ssrn.2597728
State	Published - Nov 20 2016

Keywords

Uncertainty
price of risk
risk aversion
ambiguity aversion
options

Disciplines

Economics

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10.2139/ssrn.2597728License: Unspecified

Cite this

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title = "Uncertainty Premia for Small and Large Risks",

keywords = "Uncertainty, price of risk, risk aversion, ambiguity aversion, options",

author = "Martin Puhl and Savor, \{Pavel G.\} and Wilson, \{Mungo Ivor\}",

note = "We construct an ex-ante measure of the price of risk based on changes in the option-implied concavity of preferences around scheduled macroeconomic announcement",

year = "2016",

month = nov,

day = "20",

doi = "10.2139/ssrn.2597728",

language = "American English",

journal = "Working Paper",

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TY - JOUR

T1 - Uncertainty Premia for Small and Large Risks

AU - Puhl, Martin

AU - Savor, Pavel G.

AU - Wilson, Mungo Ivor

N1 - We construct an ex-ante measure of the price of risk based on changes in the option-implied concavity of preferences around scheduled macroeconomic announcement

PY - 2016/11/20

Y1 - 2016/11/20

KW - Uncertainty

KW - price of risk

KW - risk aversion

KW - ambiguity aversion

KW - options

UR - https://papers.ssrn.com/sol3/Delivery.cfm/SSRN_ID2897663_code342938.pdf?abstractid=2597728

U2 - 10.2139/ssrn.2597728

DO - 10.2139/ssrn.2597728

M3 - Article

JO - Working Paper

JF - Working Paper

ER -

Uncertainty Premia for Small and Large Risks

Keywords

Disciplines

Access to Document

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