Utility indifference pricing and the Aumann-Serrano performance index

DOI10.1016/j.jmateco.2019.12.002zbMath1443.91103OpenAlexW2995665901WikidataQ126545446 ScholiaQ126545446MaRDI QIDQ2304208

Yoshio Miyahara, Jiro Hodoshima

Publication date: 6 March 2020

Published in: Journal of Mathematical Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jmateco.2019.12.002

zbMATH Keywords

utility indifference pricingrisk averserisk lovingAumann-Serrano indexinner rate of risk aversion

Mathematics Subject Classification ID

Utility theory (91B16) Risk models (general) (91B05)

Related Items

Comparing dynamic and static performance indexes in the stock market: evidence from Japan ⋮ Both sensitive value measure and its applications ⋮ Stock performance evaluation incorporating high moments and disaster risk: evidence from Japan ⋮ Utility indifference pricing and the Aumann-Serrano performance index

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