Journal article
Utility Indifference Pricing: A Time Consistent Approach
Abstract
This article considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion that changes with the regime. The market model is incomplete and there are two risky assets: tradable and non-tradable. In this context, the optimal investment strategies are time inconsistent. Consequently, the …
Authors
Pirvu TA; Zhang H
Journal
Applied Mathematical Finance, Vol. 20, No. 4, pp. 304–326
Publisher
Taylor & Francis
Publication Date
September 2013
DOI
10.1080/1350486x.2012.700575
ISSN
1350-486X