In this paper, we apply stochastic maximum principles to derive representations for exponential utility indifference … prices. We also obtain the related optimal portfolio processes and utility indifference hedging strategies. To illustrate our … theoretical results, we present several concrete examples and study the limit behavior of utility indifference prices for …

In this note we ask when Epstein-Zin-Weil (EZW) recursive utility over the infinite horizon is well-founded. EZW … recursive utility has a parameter $\gamma > 0$ representing risk aversion and a parameter $\psi > 0$ representing intertemporal … elasticity of substitution, and is an extension of time-additive isoelastic utility (which corresponds to the special case …