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Utility driven change of measure
Includes bibliographical references.
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| Main Author: | |
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| Other Authors: | |
| Format: | Thesis |
| Language: | English |
| Published: |
School of Economics
2014
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| _version_ | 1867613822469013504 |
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| access_status_str | Open Access |
| author | Carolissen, Kendall |
| author2 | Taylor, David |
| author_browse | Carolissen, Kendall Taylor, David |
| author_facet | Taylor, David Carolissen, Kendall |
| author_sort | Carolissen, Kendall |
| collection | Thesis |
| description | Includes bibliographical references. |
| format | Thesis |
| id | oai:open.uct.ac.za:11427/8517 |
| institution | University of Cape Town (South Africa) |
| language | eng |
| last_indexed | 2026-06-10T12:42:15.454Z |
| license_str | Not specified — see source repository |
| provenance_str_mv | Harvested via OAI-PMH from UCTD — University of Cape Town Open Access Repository |
| publishDate | 2014 |
| publishDateRange | 2014 |
| publishDateSort | 2014 |
| publisher | School of Economics |
| publisherStr | School of Economics |
| record_format | dspace |
| source_str | UCTD — University of Cape Town Open Access Repository |
| spelling | oai:open.uct.ac.za:11427/8517 Utility driven change of measure Carolissen, Kendall Taylor, David McWalter, Thomas Includes bibliographical references. 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. 2014-10-17T10:08:23Z 2014-10-17T10:08:23Z 2014 Master Thesis Masters MPhil http://hdl.handle.net/11427/8517 eng application/pdf School of Economics Faculty of Commerce University of Cape Town |
| spellingShingle | Carolissen, Kendall Utility driven change of measure |
| thesis_degree_str | Master's |
| title | Utility driven change of measure |
| title_full | Utility driven change of measure |
| title_fullStr | Utility driven change of measure |
| title_full_unstemmed | Utility driven change of measure |
| title_short | Utility driven change of measure |
| title_sort | utility driven change of measure |
| url | http://hdl.handle.net/11427/8517 |
| work_keys_str_mv | AT carolissenkendall utilitydrivenchangeofmeasure |