Recursiveness of indifference prices and translation-invariant preferences

DOI10.1007/S11579-009-0020-3zbMath1255.91397OpenAlexW2131005333MaRDI QIDQ1932524

Patrick Cheridito, Michael Kupper

Publication date: 20 January 2013

Published in: Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11579-009-0020-3

zbMATH Keywords

time-consistencytranslation-invariantdynamic utility functions

Mathematics Subject Classification ID

Utility theory (91B16) Derivative securities (option pricing, hedging, etc.) (91G20)

Related Items (22)

Conditional preference orders and their numerical representations ⋮ Optimal discrete hedging of American options using an integrated approach to options with complex embedded decisions ⋮ Certainty equivalent and utility indifference pricing for incomplete preferences via convex vector optimization ⋮ Time-inconsistent multistage stochastic programs: martingale bounds ⋮ Dynamic Limit Growth Indices in Discrete Time ⋮ Risk-Averse Stochastic Programming: Time Consistency and Optimal Stopping ⋮ Risk-hedging a European option with a convex risk measure and without no-arbitrage condition ⋮ Multiple-prior valuation of cash flows subject to capital requirements ⋮ Optimal investment policy in the time consistent mean-variance formulation ⋮ Representation of the penalty term of dynamic concave utilities ⋮ TIME‐CONSISTENT AND MARKET‐CONSISTENT EVALUATIONS ⋮ MULTIDIMENSIONAL DYNAMIC RISK MEASURE VIA CONDITIONAL g‐EXPECTATION ⋮ Time (in)consistency of multistage distributionally robust inventory models with moment constraints ⋮ Dynamic robust Orlicz premia and Haezendonck-Goovaerts risk measures ⋮ The value of a liability cash flow in discrete time subject to capital requirements ⋮ Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences ⋮ Time consistency and risk averse dynamic decision models: definition, interpretation and practical consequences ⋮ Dynamic assessment indices ⋮ Time-Consistent Decisions and Temporal Decomposition of Coherent Risk Functionals ⋮ A survey of time consistency of dynamic risk measures and dynamic performance measures in discrete time: LM-measure perspective ⋮ Time-consistency of risk measures: how strong is such a property? ⋮ Forward indifference valuation of American options

Cites Work

• Unnamed Item
• Unnamed Item
• Dynamic monetary risk measures for bounded discrete-time processes
• Bounded solutions to backward SDEs with jumps for utility optimization and indifference hedging
• Maxmin expected utility with non-unique prior
• Recursive multiple-priors.
• Convex measures of risk and trading constraints
• A valuation algorithm for indifference prices in incomplete markets
• An example of indifference prices under exponential preferences
• Coherent multiperiod risk adjusted values and Bellman's principle
• Dynamic coherent risk measures
• Dynamic variational preferences
• Dynamic exponential utility indifference valuation
• Pricing Via Utility Maximization and Entropy
• Coherent Measures of Risk
• COMPOSITION OF TIME-CONSISTENT DYNAMIC MONETARY RISK MEASURES IN DISCRETE TIME
• DYNAMIC INDIFFERENCE VALUATION VIA CONVEX RISK MEASURES
• Ambiguity Aversion, Robustness, and the Variational Representation of Preferences
• COHERENT ACCEPTABILITY MEASURES IN MULTIPERIOD MODELS
• Stochastic finance. An introduction in discrete time

This page was built for publication: Recursiveness of indifference prices and translation-invariant preferences