Search Results - subject:"Indifference valuation"

Semistatic robust utility indifference valuation and robust integral functionals

Owari, Keita - 2024 - This Version: 29.02.2024

Persistent link: https://www.econbiz.de/10015164498

Entropy Coherent and Entropy Convex Measures of Risk

Stadje, Mitja; Laeven, R.J.A. - Tilburg University, Center for Economic Research - 2011

We introduce two subclasses of convex measures of risk, referred to as entropy coherent and entropy convex measures of risk. We prove that convex, entropy convex and entropy coherent measures of risk emerge as certainty equivalents under variational, homothetic and multiple priors preferences,...

Persistent link: https://www.econbiz.de/10011091991

Utility indifference valuation of corporate bond with credit rating migration by structure approach

Liang, Jin; Zhao, Yuejuan; Zhang, Xudan - In: Economic modelling 54 (2016), pp. 339-346

Persistent link: https://www.econbiz.de/10011642188

Robust portfolio choice and indifference valuation

Laeven, Roger J. A.; Stadje, Mitja - In: Mathematics of operations research 39 (2014) 4, pp. 1109-1141

Persistent link: https://www.econbiz.de/10010462159

Dynamic valuations in incomplete markets

Klöppel, Susanne (contributor) - 2006

Persistent link: https://www.econbiz.de/10003505666

Utility indifference valuation for jump risky assets

Ceci, Claudia; Gerardi, Anna - In: Decisions in Economics and Finance 34 (2011) 2, pp. 85-120

Persistent link: https://www.econbiz.de/10009325799

Utility-Based Valuation and Hedging of Basis Risk With Partial Information

Monoyios, Michael - In: Applied Mathematical Finance 17 (2010) 6, pp. 519-551

unknown parameters, a full information model with random drifts is obtained. This is subjected to exponential indifference … valuation. An expression for the optimal hedging strategy is derived. An asymptotic expansion for small values of risk aversion …

Persistent link: https://www.econbiz.de/10008675000