Risk Seeking Behavior in Anticipation to Volatility Mean Reversal:A Case Study Using Bitcoin and SKEW  

作　　者：Rogerio Batista Adelino Leonardo Fernando Cruz Basso 

机构地区：[1]Mackenzie Presbyterian University,Sao Paulo,Brazil

出　　处：《Chinese Business Review》2022年第2期51-59,共9页中国经济评论（英文版）

摘　　要：The traditional finance approach to decision analysis,based on neo-classical economics,assumes self-interested,utility maximizing approach,and risk aversion.This essay points to a situation that investment in a risky asset(Bitcoin)is directly related to an increase in market risk,measured by SKEW index.This contradicts the traditional approach and aligns to several findings of behavioral finance.More specifically,it shows that investors may be risk seeking actors in anticipation to a belief that volatility will return to normal levels.

关 键 词：risk aversion Bitcoin SKEW risk seeking RISK VOLATILITY 

分 类 号：O15[理学—数学]