Utility driven change of measure

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dc.contributor.advisorTaylor, Daviden_ZA
dc.contributor.advisorMcWalter, Thomasen_ZA
dc.contributor.authorCarolissen, Kendallen_ZA
dc.date.accessioned2014-10-17T10:08:23Z
dc.date.available2014-10-17T10:08:23Z
dc.date.issued2014en_ZA
dc.descriptionIncludes bibliographical references.en_ZA
dc.description.abstractWe 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.en_ZA
dc.identifier.apacitationCarolissen, K. (2014). <i>Utility driven change of measure</i>. (Thesis). University of Cape Town ,Faculty of Commerce ,School of Economics. Retrieved from http://hdl.handle.net/11427/8517en_ZA
dc.identifier.chicagocitationCarolissen, Kendall. <i>"Utility driven change of measure."</i> Thesis., University of Cape Town ,Faculty of Commerce ,School of Economics, 2014. http://hdl.handle.net/11427/8517en_ZA
dc.identifier.citationCarolissen, K. 2014. Utility driven change of measure. University of Cape Town.en_ZA
dc.identifier.ris TY - Thesis / Dissertation AU - Carolissen, Kendall AB - 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. DA - 2014 DB - OpenUCT DP - University of Cape Town LK - https://open.uct.ac.za PB - University of Cape Town PY - 2014 T1 - Utility driven change of measure TI - Utility driven change of measure UR - http://hdl.handle.net/11427/8517 ER - en_ZA
dc.identifier.urihttp://hdl.handle.net/11427/8517
dc.identifier.vancouvercitationCarolissen K. Utility driven change of measure. [Thesis]. University of Cape Town ,Faculty of Commerce ,School of Economics, 2014 [cited yyyy month dd]. Available from: http://hdl.handle.net/11427/8517en_ZA
dc.language.isoengen_ZA
dc.publisher.departmentSchool of Economicsen_ZA
dc.publisher.facultyFaculty of Commerceen_ZA
dc.publisher.institutionUniversity of Cape Town
dc.titleUtility driven change of measureen_ZA
dc.typeMaster Thesis
dc.type.qualificationlevelMasters
dc.type.qualificationnameMPhilen_ZA
uct.type.filetypeText
uct.type.filetypeImage
uct.type.publicationResearchen_ZA
uct.type.resourceThesisen_ZA
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