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Robust Exponential Hedging and Indifference Valuation
http://hdl.handle.net/10086/16932
http://hdl.handle.net/10086/1693269f6ed91-4b74-4ad6-8c28-c43b43535d26
| 名前 / ファイル | ライセンス | アクション |
|---|---|---|
070econDP08-09.pdf (238902 bytes)
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| アイテムタイプ | デフォルトアイテムタイプ（フル）その２(1) | |||||||||
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| 公開日 | 2017-05-20 | |||||||||
| タイトル | ||||||||||
| タイトル | Robust Exponential Hedging and Indifference Valuation | |||||||||
| 言語 | en | |||||||||
| 作成者 |
尾張, 圭太
× 尾張, 圭太
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| アクセス権 | ||||||||||
| アクセス権 | open access | |||||||||
| アクセス権URI | http://purl.org/coar/access_right/c_abf2 | |||||||||
| 出版者 | ||||||||||
| 出版者 | Graduate School of Economics, Hitotsubashi University | |||||||||
| 日付 | ||||||||||
| 日付 | 2008-10 | |||||||||
| 日付タイプ | Issued | |||||||||
| 言語 | ||||||||||
| 言語 | eng | |||||||||
| 資源タイプ | ||||||||||
| 資源タイプ識別子 | http://purl.org/coar/resource_type/c_18gh | |||||||||
| 資源タイプ | technical report | |||||||||
| 出版タイプ | ||||||||||
| 出版タイプ | VoR | |||||||||
| 出版タイプResource | http://purl.org/coar/version/c_970fb48d4fbd8a85 | |||||||||
| 関連情報 | ||||||||||
| 関連タイプ | isPartOf | |||||||||
| 関連名称 | Discussion papers ; No. 2008-09 | |||||||||
| ページ数 | ||||||||||
| ページ数 | 21 | |||||||||
| 抄録（第三者提供不可） | ||||||||||
| 値 | We discuss the problem of exponential hedging in the presence of model uncertainty expressed by a set of probability measures. This is a robust utility maximization problem with a contingent claim. We first consider the dual problem which is the minimization of penalized relative entropy over a product set of probability measures, showing the existence and variational characterizations of the solution. These results are applied to the primal problem. Then we consider the robust version of exponential utility indifference valuation, giving the representation of indifference price using a duality result. | |||||||||
