English, Article edition: ASSESSING FINANCIAL RISK TOLERANCE OF PORTFOLIO INVESTORS USING DATA ENVELOPMENT ANALYSIS PARISA HOSSEINI ARDEHALI; JOSEPH C. PARADI; METTE ASMILD

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Bookmark: http://trove.nla.gov.au/version/36410
Physical Description
  • article
Language
  • English

Edition details

Title
  • ASSESSING FINANCIAL RISK TOLERANCE OF PORTFOLIO INVESTORS USING DATA ENVELOPMENT ANALYSIS
Author
  • PARISA HOSSEINI ARDEHALI
  • JOSEPH C. PARADI
  • METTE ASMILD
Physical Description
  • article
Notes
  • 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 (DEA) 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.
  • Financial risk tolerance, data envelopment analysis, risk assessment, know your client
  • RePEc:wsi:ijitdm:v:04:y:2005:i:03:p:491-519
Language
  • English
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