ON AGENT’S AGREEMENT AND PARTIAL-EQUILIBRIUM PRICING IN INCOMPLETE MARKETS (Q3576956): Difference between revisions

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+Inf-convolution of risk measures and optimal risk transfer
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+General Pareto Optimal Allocations and Applications to Multi-Period Risks
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+OPTIMAL NUMERAIRES FOR RISK MEASURES
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+EQUILIBRIUM PRICES FOR MONETARY UTILITY FUNCTIONS
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+The Minimal Entropy Martingale Measure and the Valuation Problem in Incomplete Markets
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+Pareto Equilibria with coherent measures of risk
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+VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
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+Real options with constant relative risk aversion
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+ON UTILITY-BASED PRICING OF CONTINGENT CLAIMS IN INCOMPLETE MARKETS
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+Optimal investment with derivative securities
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+OPTIMAL RISK SHARING FOR LAW INVARIANT MONETARY UTILITY FUNCTIONS
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+On the pricing of contingent claims under constraints
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+DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
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+The asymptotic elasticity of utility functions and optimal investment in incomplete markets
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+Sensitivity analysis of utility-based prices and risk-tolerance wealth processes
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+Asymptotic analysis of utility-based hedging strategies for small number of contingent claims
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+Dynamic exponential utility indifference valuation
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+An example of indifference prices under exponential preferences
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+Utility based optimal hedging in incomplete markets.
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+Pricing Via Utility Maximization and Entropy
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+Optimal investment in incomplete markets when wealth may become negative.
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+Bounds and Asymptotic Approximations for Utility Prices when Volatility is Random
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+PRICING OPTIONS FROM THE POINT OF VIEW OF A TRADER
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+A solution approach to valuation with unhedgeable risks
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