Dynamic indifference valuation via convex risk measures

Mathematical Finance

Volumn 17, Issue 4, 2007, Pages 599-627

  Klöppel, Susanne ^a   Schweizer, Martin ^a  

^a ETH ZURICH   (Switzerland)

Author keywords

Convex risk measures; Convolution; Incomplete markets; Monetary concave utility functionals; Representation of risk measures; Time consistency; Utility indifference valuation

Indexed keywords

EID: 34548547037     PISSN: 09601627     EISSN: 14679965     Source Type: Journal    
DOI: 10.1111/j.1467-9965.2007.00317.x     Document Type: Article

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