Comparison of utility indifference pricing and mean-variance approach under normal mixture
Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
| Year of publication: |
March 2018
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|---|---|
| Authors: | Hodoshima, Jiro ; Misawa, Tetsuya ; Miyahara, Yoshio |
| Published in: |
Finance research letters. - Amsterdam [u.a.] : Elsevier, ISSN 1544-6123, ZDB-ID 2181386-3. - Vol. 24.2018, p. 221-229
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| Subject: | Normal mixture | Random cash flow | Utility indifference pricing | Value measure | Theorie | Theory | Börsenkurs | Share price | Portfolio-Management | Portfolio selection | Unvollkommener Markt | Incomplete market | Cash Flow | Cash flow | Martingal | Martingale |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.frl.2017.09.008 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10011982579