Sensitivity analysis of utility-based prices and risk-tolerance wealth processes (Q997422)
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scientific article
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| English | Sensitivity analysis of utility-based prices and risk-tolerance wealth processes |
scientific article |
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Sensitivity analysis of utility-based prices and risk-tolerance wealth processes (English)
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6 August 2007
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utility maximization
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incomplete markets
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risk-aversion
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risk-tolerance
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random endowment
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contingent claim
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hedging
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utility-based valuation
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stochastic dominance
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0.8381744623184204
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0.8034810423851013
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0.7333481311798096
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0.7261390089988708
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0.7257815003395081
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