Time Series

Expected Risk

Expected Returns

Optimization

Simulation

Exposure to Loss

Risk Budgets

Factor Analysis

Cash Flow Analysis

Risk Aversion

What is the risk aversion parameter?

Risk aversion specifies how many units of expected return we are willing to forfeit in order to decrease risk (variance) by one unit. A higher risk aversion would suggest a conservative investor and would tilt the optimal portfolio away from highly volatile assets.

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