Utility maximization under increasing risk aversion in one-period models

DOI10.1007/S00780-005-0164-9zbMATH Open1092.91016OpenAlexW1999087529MaRDI QIDQ2488511FDOQ2488511

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

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zbMATH Keywords

utility maximizationsuper-replicationutility indifference pricebalanced strategy

Mathematics Subject Classification ID

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

Cited In (8)

• Utility maximization in markets with bid-ask spreads
• Utility maximization, risk aversion, and stochastic dominance
• Abstract, classic, and explicit turnpikes
• Dynamic exponential utility indifference valuation
• Risk Averse Asymptotics and the Optional Decomposition
• 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 under a shortfall risk constraint

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