Risk-averse asymptotics for reservation prices
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References listed on IDEAS
- Miklos Rasonyi & Lukasz Stettner, 2005. "On utility maximization in discrete-time financial market models," Papers math/0505243, arXiv.org.
- Constantinos Kardaras & Gordan Zitkovic, 2007. "Stability of the utility maximization problem with random endowment in incomplete markets," Papers 0706.0482, arXiv.org, revised Mar 2010.
- Kasper Larsen, 2009. "Continuity Of Utility-Maximization With Respect To Preferences," Mathematical Finance, Wiley Blackwell, vol. 19(2), pages 237-250.
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- Scott Robertson, 2012. "Pricing for Large Positions in Contingent Claims," Papers 1202.4007, arXiv.org, revised Dec 2013.
- Romain Blanchard & Laurence Carassus, 2017. "Convergence of utility indifference prices to the superreplication price in a multiple-priors framework," Papers 1709.09465, arXiv.org.
More about this item
KeywordsUtility indifference price; Superreplication price; Convergence; Utility maximization; Risk aversion; C61; C62; G11; G12;
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C62 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Existence and Stability Conditions of Equilibrium
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
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