Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility
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DOI: 10.1016/j.frl.2018.04.006
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… read more here.
Keywords: time varying; mixture distribution; distribution time; utility indifference ... See more keywords
Utility indifference pricing and the Aumann–Serrano performance index
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DOI: 10.1016/j.jmateco.2019.12.002
Abstract: Abstract A performance index based on the economic index of riskiness by Aumann and Serrano (2008) can be derived from an index based on the utility indifference price with the exponential utility function. The exponential… read more here.
Keywords: risk; index; utility; performance index ... See more keywords
Stock performance by utility indifference pricing and the Sharpe ratio
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DOI: 10.1080/14697688.2018.1478121
Abstract: We compare stock performance based on utility indifference pricing and the Sharpe ratio assuming that stock returns follow the class of discrete normal mixture distributions. The utility indifference price with an exponential utility function satisfies… read more here.
Keywords: utility; stock performance; utility indifference;