搜索结果: 1-15 共查到“Indifference”相关记录17条 . 查询时间(0.093 秒)
A Representation for Intransitive Indifference Relations
Utility function Error Just noticeable difference Interval order
2015/9/23
Binary relations representable by utility functions with multiplicative error are considered. It is
proved that if the error is a power of utility then the underlying binary relation is either an int...
Pricing options on illiquid assets with liquid proxies using utility indifference and dynamic-static hedging
Pricing options illiquid assets liquid proxies utility indifference dynamic-static hedging
2012/6/4
This work addresses the problem of optimal pricing and hedging of a European option on an illiquid asset Z using two proxies: a liquid asset S and a liquid European option on another liquid asset Y. W...
Indifference Pricing of American Option Underlying Illiquid Stock under Exponential Forward Performance
Stochastic control generalized verification theorem portfolio optimization indifference pricing exponential forward performance
2012/3/2
This work focuses on the indifference pricing of American call option underlying a non-traded stock, which may be partially hedgeable by another traded stock. Under the exponential forward measure, th...
Utility Indifference Pricing: A Time Consistent Approach
Time consistency time inconsistent control incomplete market utility indifference price
2011/3/23
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute ...
Indifference of Defaultable Bonds with Stochastic Intensity models
Credit Risk model Cox Process HJB equations
2010/10/19
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived....
Indifference of Defaultable Bonds with Stochastic Intensity models
Credit Risk model Cox Process HJB equations Indif-ference Pricing Minimal Entropy Measure Finite difference Method
2010/4/27
The utility-based pricing of defaultable bonds in the case of stochastic intensity models of default risk is discussed. The Hamilton-Jacobi- Bellman (HJB) equations for the value functions is derived....
Lexicographic answering in travel choice: Insufficient scale extensions and steep indifference curves?
design indifference curves lexicographic answering
2009/9/29
This study assesses lexicographic answering in stated choice surveys of travel alternatives. Respondents answering lexicographically in three different data sets are analysed in relation to how import...
Economic incentive in community nursing: attraction, rejection or indifference?
economic incentive community nursing attraction rejection indifference
2009/9/28
It is hard to imagine any period in time when economic issues were more visible in health sector decision-making. The search for measures that maximize available resources has never been greater than ...
A policyholder's utility indifference valuation model for the guaranteed annuity option
Indi erence Valuation Guaranteed Annuity Option g.a.o Incom-plete Markets Insurance Life Annuity Annuitization Optimal Asset Allocation
2010/11/2
Insurance companies often include very long-term guarantees in par-ticipating life insurance products, which can turn out to be very valuable.Under a guaranteed annuity options (g.a.o.), the insurer g...
A Praxeological Case for Homogeneity and Indifference
Praxeological Case Homogeneity Indifference
2009/7/23
The purpose of the article below is to explain the concept of homogeneity,
the basis for the law of diminishing marginal utility. We will not rely on a psychological
definition as Block (1980) does....
The decline of son preference and rise of gender indifference in Taiwan since 1990
education gender indifference son preference Taiwan
2009/4/29
This study explores the change of married women’s sex preference for children in Taiwan since 1990, finding that there was a substantial decline of son preference and rise of “gender indifference”, de...
Nature conservation in an era of indifference
nature conservation conservationist nature education British Columbia
2009/2/11
A pre-condition for successful nature conservation projects is the presence of committed individuals, largely from the volunteer sector. As environmental and conservation issues multiply , thought mus...
Upper and lower bounds on dynamic risk indifference prices in incomplete markets
Backward stochastic differential equations Dynamic convex risk measures Incomplete markets Indifference pricing
2010/11/2
In the context of an incomplete market with a Brownian filtration and a fixed finite time horizon T , this paper proves that for general dynamic convex risk measures, the buyer’s (pbuyer t ) and selle...
When coherent preferences may not preserve indifference between equivalent random variables: A price for unbounded utilities.
equivalent random variables
2008/4/18
We extend de Finetti’s (1974) theory of coherence to apply also to unbounded random variables. We show that for random variables with mandated infinite prevision, such as for the St. Petersburg gamble...
Indifference price with general semimartingales
Indifference price - utility maximization – non locally bounded semimartingale –random endowment - incomplete market – Orlicz space – convex duality - convex risk measure
2010/11/1
For utility functions u finite valued on R, we prove a duality formula for utility maximization
with random endowment in general semimartingale incomplete markets. The main novelty of the paper is th...