The 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

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

Scott Liu (Contact Author)

MSCI Inc. ( email )

88 Pine Street
2nd Floor
New York, NY 10005
United States

Rong Xu

MSCI Inc. ( email )

88 Pine Street
2nd Floor
New York, NY 10005
United States

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