Certainty equivalent - Portfolio Returns

[Francois Durant]

Hi,

I am looking for a Stata package that would calculate portfolio returns certainty equivalent using power utility function. Anyone aware of a package that could help me doing that? Thanks!

[Joro Kolev]

There is no such package.

Once upon the time I contributed to this literature,

Kolev, Gueorgui I., and Rasa Karapandza. "Out-of-sample equity premium predictability and sample split–invariant inference." Journal of Banking & Finance 84 (2017): 188-201.

and at the end my paper did not involve certainty equivalent calculations, but I was digging on the internet for examples of code, and there was nothing.

[Francois Durant]

Thanks for sharing this reference Joro!

Attaullah Shah : Another idea of package to develop in Stata. I'd be definitely interested if it was to become available on your website.