Recursiveness of indifference prices and translation-invariant preferences
From MaRDI portal
Publication:1932524
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
Related Items
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