Autore
Giammarino, FlaviaTitolo
A Note on Indifference Pricing with Dynamic Quasiconcave PreferencesPeriodico
Economic notesAnno:
2015 - Volume:
44 - Fascicolo:
3 - Pagina iniziale:
437 - Pagina finale:
448In this paper we study the problem of indifference pricing in a discrete-time setting where the decision-maker's preferences are represented by a general monotone increasing and quasiconcave dynamic preference functional. We show that the indifference price is a dynamic convex risk measure and we introduce as an example the dynamic robust entropic risk measure.
SICI: 0391-5026(2015)44:3<437:ANOIPW>2.0.ZU;2-F
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