<Para ID="Par1">This paper considers exponential utility indifference pricing for a multidimensional non-traded assets model, and provides two linear approximations for the utility indifference price. The key tool is a probabilistic representation for the utility indifference price by the solution of a...</para>

We study the behavior of the optimal portfolio policy of a long-run investor in markets with stationary investment opportunity sets. We provide conditions on the utility function, for large wealth levels, which are sufficient for the optimal portfolio policy to approximate, as the trading...

We study a class of stochastic optimization models of expected utility in markets with stochastically changing investment opportunities. The prices of the primitive assets are modelled as diffusion processes whose coefficients evolve according to correlated diffusion factors. Under certain...

The aim herein is to analyze utility-based prices and hedging strategies. The analysis is based on an explicitly solved example of a European claim written on a nontraded asset, in a model where risk preferences are exponential, and the traded and nontraded asset are diffusion processes with,...

A probabilistic iterative algorithm is constructed for indifference prices of claims in a multiperiod incomplete model. At each time step, a nonlinear pricing functional is applied that isolates and prices separately the two types of risk. It is represented solely in terms of risk aversion and...