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Abstract We evaluate a utility indifference price with an exponential utility function, which we call a risk-sensitive value measure, under a normal mixture distribution with time-varying volatility. We compare the… Click to show full abstract
Abstract We evaluate a utility indifference price with an exponential utility function, which we call a risk-sensitive value measure, under a normal mixture distribution with time-varying volatility. We compare the risk-sensitive value measure and mean-variance approach and provide an empirical application.
Keywords:
time varying;
mixture distribution;
distribution time;
utility indifference;
normal mixture;
utility
Journal Title: Finance Research Letters
Year Published: 2019
Link to full text (if available)
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Journal Title: Finance Research Letters
Year Published: 2019
Link to full text (if available)
Share on Social Media: Sign Up to like & get
recommendations!