Download This PaperThe Effects of Risk Aversion on Optimization, February 2010
28 Pages Posted: 7 May 2010
Date Written: February 22, 2010
Abstract
In this paper, we examine the influences of risk aversion on various aspects of portfolio optimization. Our main message is that the risk aversion parameters in the Barra Optimizer provide users with the flexibility to control or adjust the risk levels of their optimal portfolios. They are valuable tools for portfolio managers to explore and customize their portfolio optimization results and investment processes.
Keywords: risk, aversion, portfolio optimization, parameters, Barra Optimizer risk levels, tools, portfolio managers, investment
Suggested Citation: Suggested Citation
Liu, Scott and Xu, Rong, The Effects of Risk Aversion on Optimization, February 2010 (February 22, 2010). MSCI Barra Research Paper No. 2010-06, Available at SSRN: https://ssrn.com/abstract=1601412 or http://dx.doi.org/10.2139/ssrn.1601412
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