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  • Search: subject:"indifference valuation"
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Year of publication
Subject
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Theorie 2 Theory 2 Convex risk measures 1 Convexity 1 Derivat 1 Derivative 1 Exponential utility 1 Incomplete market 1 Indifference valuation 1 Indifferenzbewertung (dynamic indifference valuation) 1 Integral functionals 1 Measurement 1 Messung 1 Multiple priors 1 Nutzen 1 Nutzenfunktion 1 Relative entropy 1 Robust statistics 1 Robustes Verfahren 1 Robustness 1 Translation invariance 1 Unvollkommener Markt 1 Utility 1 Utility function 1 Variational and homothetic preferences 1 indifference valuation 1 robust utility 1 semistatic strategies 1
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Online availability
All
Free 3
Type of publication
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Book / Working Paper 3
Type of publication (narrower categories)
All
Graue Literatur 2 Non-commercial literature 2 Arbeitspapier 1 Hochschulschrift 1 Thesis 1 Working Paper 1
Language
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English 2 Undetermined 1
Author
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Klöppel, Susanne 1 Laeven, R.J.A. 1 Owari, Keita 1 Stadje, Mitja 1
Institution
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Tilburg University, Center for Economic Research 1
Published in...
All
CARF working paper 1 Discussion Paper / Tilburg University, Center for Economic Research 1
Source
All
ECONIS (ZBW) 2 RePEc 1
Showing 1 - 3 of 3
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Semistatic robust utility indifference valuation and robust integral functionals
Owari, Keita - 2024 - This Version: 29.02.2024
Persistent link: https://www.econbiz.de/10015164498
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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
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Cover Image
Dynamic valuations in incomplete markets
Klöppel, Susanne (contributor) - 2006
Persistent link: https://www.econbiz.de/10003505666
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