Utility maximization under increasing risk aversion in one-period models
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References listed on IDEAS
- David B. Colwell & Robert J. Elliott, 1993. "Discontinuous Asset Prices And Non-Attainable Contingent Claims," Mathematical Finance, Wiley Blackwell, vol. 3(3), pages 295-308.
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KeywordsUtility maximization; utility indifference price; balanced strategy; super-replication;
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