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Utility maximization under increasing risk aversion in one-period models
Cheridito, Patrick
;
Summer, Christopher
- In:
Finance and Stochastics
10
(
2006
)
1
,
pp. 147-158
It has been shown at different levels of generality that under increasing risk aversion utility indifference sell prices of a contingent claim converge to the super-replication price and the shortfalls of utility maximizing hedging portfolios starting from the super-replication price tend to...
Persistent link: https://www.econbiz.de/10005166851
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2
Optimal investment with derivative securities
Ílhan, Aytaç
;
Jonsson, Mattias
;
Sircar, Ronnie
- In:
Finance and Stochastics
9
(
2005
)
4
,
pp. 585-595
concavity of the utility-
indifference
price
as a function of the static positions, is that, in a quite general incomplete …
Persistent link: https://www.econbiz.de/10005166858
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