• search hit 14 of 1103
Back to Result List

Utility Indifference Valuation (Compensating Variations)

Please always quote using this URN:urn:nbn:de:0296-matheon-6773
  • Under market frictions like illiquidity or transaction costs, contingent claims can incorporate some inevitable intrinsic risk that cannot be completely hedged away but remains with the holder. In general, they cannot be synthesized by dynamical trading in liquid assets and hence not be priced by no-arbitrage arguments alone. Still, an agent can determine a valuation with respect to her preferences towards risk. The utility indifference value for a variation in the quantity of illiquid assets held by the agent is defined as the compensating variation of wealth, under which her maximal expected utility remains unchanged.

Download full text files

Export metadata

Additional Services

Share in Twitter Search Google Scholar
Metadaten
Author:Dirk Becherer
URN:urn:nbn:de:0296-matheon-6773
Referee:Peter Imkeller
Document Type:Preprint, Research Center Matheon
Language:English
Date of first Publication:2010/01/25
Release Date:2010/01/15
Institute:Humboldt-Universität zu Berlin
Preprint Number:685
Verstanden ✔
Diese Webseite verwendet technisch erforderliche Session-Cookies. Durch die weitere Nutzung der Webseite stimmen Sie diesem zu. Unsere Datenschutzerklärung finden Sie hier.