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Autore
Giammarino, Flavia

Titolo
A Note on Indifference Pricing with Dynamic Quasiconcave Preferences
Periodico
Economic notes
Anno: 2015 - Volume: 44 - Fascicolo: 3 - Pagina iniziale: 437 - Pagina finale: 448

In 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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