Utility maximization under increasing risk aversion in one-period models

DOI10.1007/s00780-005-0164-9zbMath1092.91016OpenAlexW1999087529MaRDI QIDQ2488511

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

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

Related Items (5)

Convergence of utility indifference prices to the superreplication price ⋮ Abstract, classic, and explicit turnpikes ⋮ Utility maximization in markets with bid–ask spreads ⋮ Convergence of utility indifference prices to the superreplication price: the whole real line case ⋮ Dynamic exponential utility indifference valuation

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