Assessing financial risk tolerance of portfolio investors using data envelopment analysis

Research output: Contribution to journal › Journal article › Research › peer-review

Standard

Assessing financial risk tolerance of portfolio investors using data envelopment analysis. / Ardehali, Parisa Hosseini; Paradi, Joseph C.; Asmild, Mette.

In: International Journal of Information Technology and Decision Making, Vol. 4, No. 3, 2005, p. 491-519.

Research output: Contribution to journal › Journal article › Research › peer-review

Harvard

Ardehali, PH, Paradi, JC & Asmild, M 2005, 'Assessing financial risk tolerance of portfolio investors using data envelopment analysis', International Journal of Information Technology and Decision Making, vol. 4, no. 3, pp. 491-519. https://doi.org/10.1142/S0219622005001660

APA

Ardehali, P. H., Paradi, J. C., & Asmild, M. (2005). Assessing financial risk tolerance of portfolio investors using data envelopment analysis. International Journal of Information Technology and Decision Making, 4(3), 491-519. https://doi.org/10.1142/S0219622005001660

Vancouver

Ardehali PH, Paradi JC, Asmild M. Assessing financial risk tolerance of portfolio investors using data envelopment analysis. International Journal of Information Technology and Decision Making. 2005;4(3):491-519. https://doi.org/10.1142/S0219622005001660

Author

Ardehali, Parisa Hosseini ; Paradi, Joseph C. ; Asmild, Mette. / Assessing financial risk tolerance of portfolio investors using data envelopment analysis. In: International Journal of Information Technology and Decision Making. 2005 ; Vol. 4, No. 3. pp. 491-519.

Bibtex

@article{a204dea951ff42498275e7634235b7ae,
title = "Assessing financial risk tolerance of portfolio investors using data envelopment analysis",
abstract = "For some investors their own personal investment counsellors address their investment strategy; for others automated means are used. To protect investors, the Canadian Government has enacted the {"}Know Your Client{"} Act requiring that all investment dealers and vendors of securities must know their clients and advise them on the appropriate investment strategy. This paper uses Data Envelopment Analysis (DBA) in a novel manner by applying it to a large data set of answers to a number of psychological questions. A Slacks Based Model was used to estimate investor risk tolerance. The model analyses the risk profile of the investor and can be used as a guide to match the risk rating of the investment vehicles for the client. Statistical comparisons were also carried out to show how risk tolerance relates to various demographic variables. Finally, the DEA results were validated through comparisons with the commercial system already in use.",
keywords = "Data envelopment analysis, Financial risk tolerance, Know your client, Risk assessment",
author = "Ardehali, {Parisa Hosseini} and Paradi, {Joseph C.} and Mette Asmild",
year = "2005",
doi = "10.1142/S0219622005001660",
language = "English",
volume = "4",
pages = "491--519",
journal = "International Journal of Information Technology and Decision Making",
issn = "0219-6220",
publisher = "World Scientific Publishing Co. Pte Ltd",
number = "3",

}

RIS

TY - JOUR

T1 - Assessing financial risk tolerance of portfolio investors using data envelopment analysis

AU - Ardehali, Parisa Hosseini

AU - Paradi, Joseph C.

AU - Asmild, Mette

PY - 2005

Y1 - 2005

N2 - For some investors their own personal investment counsellors address their investment strategy; for others automated means are used. To protect investors, the Canadian Government has enacted the "Know Your Client" Act requiring that all investment dealers and vendors of securities must know their clients and advise them on the appropriate investment strategy. This paper uses Data Envelopment Analysis (DBA) in a novel manner by applying it to a large data set of answers to a number of psychological questions. A Slacks Based Model was used to estimate investor risk tolerance. The model analyses the risk profile of the investor and can be used as a guide to match the risk rating of the investment vehicles for the client. Statistical comparisons were also carried out to show how risk tolerance relates to various demographic variables. Finally, the DEA results were validated through comparisons with the commercial system already in use.

AB - For some investors their own personal investment counsellors address their investment strategy; for others automated means are used. To protect investors, the Canadian Government has enacted the "Know Your Client" Act requiring that all investment dealers and vendors of securities must know their clients and advise them on the appropriate investment strategy. This paper uses Data Envelopment Analysis (DBA) in a novel manner by applying it to a large data set of answers to a number of psychological questions. A Slacks Based Model was used to estimate investor risk tolerance. The model analyses the risk profile of the investor and can be used as a guide to match the risk rating of the investment vehicles for the client. Statistical comparisons were also carried out to show how risk tolerance relates to various demographic variables. Finally, the DEA results were validated through comparisons with the commercial system already in use.

KW - Data envelopment analysis

KW - Financial risk tolerance

KW - Know your client

KW - Risk assessment

U2 - 10.1142/S0219622005001660

DO - 10.1142/S0219622005001660

M3 - Journal article

AN - SCOPUS:33746185618

VL - 4

SP - 491

EP - 519

JO - International Journal of Information Technology and Decision Making

JF - International Journal of Information Technology and Decision Making

SN - 0219-6220

IS - 3

ER -

ID: 227788196