Utility maximization under increasing risk aversion in one-period models

DOI10.1007/S00780-005-0164-9MaRDI QIDQ2488511zbMATHOpenAlexFDO

Authors Patrick Cheridito, Christopher Summer

Publication date 24 May 2006

Published in Finance and Stochastics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00780-005-0164-9

zbMATH Keywords

utility maximizationsuper-replicationutility indifference pricebalanced strategy

Mathematics Subject Classification ID

Portfolio theory (91G10) Utility theory (91B16)

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(8)

• Abstract, classic, and explicit turnpikes
• Dynamic exponential utility indifference valuation
• Utility maximization, risk aversion, and stochastic dominance
• Convergence of utility indifference prices to the superreplication price
• Convergence of utility indifference prices to the superreplication price: the whole real line case
• Utility maximization in markets with bid-ask spreads
• Utility maximization under a shortfall risk constraint
• Risk Averse Asymptotics and the Optional Decomposition

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