We develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute risk aversion to be non-monotone and implements the assumption that agents may become less risk-averse for very low values of wealth. The class contains the well-known exponential...

We develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute risk aversion to be non-monotone and implements the assumption that agents may become less risk-averse for very low values of wealth. The class contains the well-known exponential...

We study utility indifference pricing of untradeable assets in incomplete markets using a symmetric asymptotic hyperbolic absolute risk aversion (SAHARA) utility function, both from the buyer's and seller's perspective. The use of the SAHARA utility function allows us to tackle the ``short...