A Note on Indifference Pricing with Dynamic Quasiconcave Preferences

In this paper we study the problem of indifference pricing in a discrete‐time setting where the decision‐maker's preferences are represented by a general monotone increasing and quasiconcave dynamic preference functional. We show that the indifference price is a dynamic convex risk measure and we introduce as an example the dynamic robust entropic risk measure

Year of publication:	2015
Authors:	Giammarino, Flavia
Publisher:	[2015]: [S.l.] : SSRN
Subject:	Präferenztheorie \| Theory of preferences \| Intertemporale Entscheidung \| Intertemporal choice \| Diskrete Entscheidung \| Discrete choice

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