WebWe develop a new class of utility functions, SAHARA utility, with the distinguishing feature that it allows absolute risk aversion to be non-monotone and implements the assumption that agents may become less risk averse for very low values of wealth. The class contains the well-known exponential and power utility functions as limiting cases. We investigate … Web12 jul. 2024 · Indifference Pricing sentence examples within Utility Indifference Pricing Utility Indifference Pricing 10.2139/ssrn.3853237 We establish several dual versions of the problem, one of which has a natural financial interpretation in terms of exponential utility indifference pricing, and prove absence of duality gaps.

Modeling non-monotone risk aversion using SAHARA utility …

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Preference and Indifference Curves – Intermediate Microeconomics

WebWe study utility indi erence pricing of untradable assets in incomplete markets using a sym-metric asymptotic hyperbolic absolute risk aversion (SAHARA) utility … WebNext, we consider two expected utility problems via which the indifference price of the writer will be defined. The first problem arises in the classical Merton model of optimal investment, namely V (x,t) = sup Z E −e−γXT X t = x. (5) The investor seeks to maximize the expected utility of terminal wealth without taking into account the ... WebWe investigate the optimal investment problem under SAHARA utility and derive the optimal strategies in an explicit form using dual optimization methods. We also show how SAHARA utility functions extend the class of contingent claims that can be valued using indifference pricing in incomplete markets. Suggested Citation powerball greece