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Time-Consistency of Indifference Prices and Monetary Utility Functions · Study

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PreprintTime-Consistency of Indifference Prices and Monetary Utility Functions

Patrick Cheridito2006

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Preprintgreen2006

Time-Consistency of Indifference Prices and Monetary Utility Functions

Patrick Cheridito · Michael Kupper

17 citations·0/0 files stored·SSRN Electronic Journal

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Decision-Making and Behavioral Economics Stochastic processes and financial applications Economic theories and models

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References

1979Prospect Theory: An Analysis of Decision under Risk 1988Prospect theory: An analysis of decision under risk 2019Theory of games and economic behavior 1992Advances in prospect theory: Cumulative representation of uncertainty 1952PORTFOLIO SELECTION*1999Coherent Measures of Risk 1961Risk, Ambiguity, and the Savage Axioms 1959Portfolio Selection: Efficient Diversification of Investments

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2007VALUATIONS AND DYNAMIC CONVEX RISK MEASURES 2009Bid-ask dynamic pricing in financial markets with transaction costs and liquidity risk 2007Pricing options in incomplete equity markets via the instantaneous Sharpe ratio 2007Dynamic utility-based good deal bounds

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Details

Year2006

Typepreprint

Published2006-01-01

VenueSSRN Electronic Journal

ISSN-L1556-5068

Languageen

Citations17

Files0 public / 0

ShelfDecision-Making and Behavioral Economics

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doi10.2139/ssrn.877313

openalex_workW2106706901

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