The paper uses a Walrasian two-period financial market model with informed and uninformed constant absolute risk averse … (CARA) rational investors and noise traders. The investors allocate their initial wealth between risky assets and risk …’ prediction coefficient but makes that of the uninformed investors diminish. Inflation does not affect rational investors’ risk …

This paper formulates a model of utility for a continuous time frame-work that captures the decision-maker's concern …, sharper predictions can be obtained by assuming preference maximization and equilibrium. Thus we apply the model of utility to …

The academic interest in utility indifference based approaches to derivative pricing in incomplete markets has grown …-Uhlenbeck process, and price call and put options using the indifference methodology in the case of exponential utility. The purpose of … the study is to investigate empirically the implied risk aversion for a representative agent in the option market, as a …