A Note on Indifference Pricing with Dynamic Quasiconcave Preferences. (17th July 2015)
- Record Type:
- Journal Article
- Title:
- A Note on Indifference Pricing with Dynamic Quasiconcave Preferences. (17th July 2015)
- Main Title:
- A Note on Indifference Pricing with Dynamic Quasiconcave Preferences
- Authors:
- Giammarino, Flavia
- Abstract:
- <abstract abstract-type="main" xml:lang="en"> <title> <x xml:space="preserve">Abstract</x> </title> <sec id="ecno12043-sec-0001" sec-type="section"> <p>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.</p> </sec> </abstract>
- Is Part Of:
- Economic notes. Volume 44:Number 3(2015:Nov.)
- Journal:
- Economic notes
- Issue:
- Volume 44:Number 3(2015:Nov.)
- Issue Display:
- Volume 44, Issue 3 (2015)
- Year:
- 2015
- Volume:
- 44
- Issue:
- 3
- Issue Sort Value:
- 2015-0044-0003-0000
- Page Start:
- 437
- Page End:
- 448
- Publication Date:
- 2015-07-17
- Subjects:
- Economics -- Periodicals
330.9 - Journal URLs:
- http://onlinelibrary.wiley.com/journal/10.1111/(ISSN)1468-0300 ↗
http://onlinelibrary.wiley.com/ ↗ - DOI:
- 10.1111/ecno.12043 ↗
- Languages:
- English
- ISSNs:
- 0391-5026
- Deposit Type:
- Legaldeposit
- View Content:
- Available online (eLD content is only available in our Reading Rooms) ↗
- Physical Locations:
- British Library DSC - 3653.932000
British Library DSC - BLDSS-3PM
British Library HMNTS - ELD Digital store - Ingest File:
- 3012.xml