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Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility
Hodoshima, Jiro
;
Yamawake, Toshiyuki
- In:
Finance research letters
28
(
2019
),
pp. 74-81
Persistent link: https://www.econbiz.de/10012388014
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Stock performance by utility indifference pricing and the Sharpe ratio
Hodoshima, Jiro
- In:
Quantitative finance
19
(
2019
)
2
,
pp. 327-338
Persistent link: https://www.econbiz.de/10012194656
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3
Comparison of utility indifference pricing and mean-variance approach under normal mixture
Hodoshima, Jiro
;
Misawa, Tetsuya
;
Miyahara, Yoshio
- In:
Finance research letters
24
(
2018
),
pp. 221-229
Persistent link: https://www.econbiz.de/10011982579
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