Show simple item record

dc.contributor.author
Klöppel, Susanne
dc.contributor.author
Schweizer, Martin
dc.date.accessioned
2022-10-18T09:43:06Z
dc.date.available
2022-10-18T09:39:53Z
dc.date.available
2022-10-18T09:43:06Z
dc.date.issued
2007-10
dc.identifier.issn
0960-1627
dc.identifier.issn
1467-9965
dc.identifier.other
10.1111/j.1467-9965.2007.00317.x
en_US
dc.identifier.uri
http://hdl.handle.net/20.500.11850/576578
dc.description.abstract
The (subjective) indifference value of a payoff in an incomplete financial market is that monetary amount which leaves an agent indifferent between buying or not buying the payoff when she always optimally exploits her trading opportunities. We study these values over time when they are defined with respect to a dynamic monetary concave utility functional, that is, minus a dynamic convex risk measure. For that purpose, we prove some new results about families of conditional convex risk measures. We study the convolution of abstract conditional convex risk measures and show that it preserves the dynamic property of time-consistency. Moreover, we construct a dynamic risk measure (or utility functional) associated to superreplication in a market with trading constraints and prove that it is time-consistent. By combining these results, we deduce that the corresponding indifference valuation functional is again time-consistent. As an auxiliary tool, we establish a variant of the representation theorem for conditional convex risk measures in terms of equivalent probability measures.
en_US
dc.language.iso
en
en_US
dc.publisher
Blackwell
en_US
dc.subject
Utility indifference valuation
en_US
dc.subject
Monetary concave utility functionals
en_US
dc.subject
Time-consistency
en_US
dc.subject
Convolution
en_US
dc.subject
Representation of risk measures
en_US
dc.subject
Convex risk measures
en_US
dc.subject
Incomplete markets
en_US
dc.title
Dynamic Utility Indifference Valuation via Convex Risk Measures
en_US
dc.type
Journal Article
dc.date.published
2007-09-14
ethz.journal.title
Mathematical Finance
ethz.journal.volume
17
en_US
ethz.journal.issue
4
en_US
ethz.journal.abbreviated
Math. finance
ethz.pages.start
599
en_US
ethz.pages.end
627
en_US
ethz.publication.place
Oxford
en_US
ethz.publication.status
published
en_US
ethz.leitzahl
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
en_US
ethz.leitzahl.certified
ETH Zürich::00002 - ETH Zürich::00012 - Lehre und Forschung::00007 - Departemente::02000 - Dep. Mathematik / Dep. of Mathematics::02003 - Mathematik Selbständige Professuren::03658 - Schweizer, Martin / Schweizer, Martin
ethz.date.deposited
2017-06-08T16:41:08Z
ethz.source
ECIT
ethz.identifier.importid
imp59364f087385623024
ethz.identifier.importid
imp59364b7e0829d60581
ethz.ecitpid
pub:77091
ethz.ecitpid
pub:14831
ethz.eth
yes
en_US
ethz.availability
Metadata only
en_US
ethz.rosetta.installDate
2022-10-18T09:40:00Z
ethz.rosetta.lastUpdated
2022-10-18T09:40:00Z
ethz.rosetta.exportRequired
true
ethz.rosetta.versionExported
true
dc.identifier.olduri
http://hdl.handle.net/20.500.11850/163039
dc.identifier.olduri
http://hdl.handle.net/20.500.11850/4671
ethz.COinS
ctx_ver=Z39.88-2004&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.atitle=Dynamic%20Utility%20Indifference%20Valuation%20via%20Convex%20Risk%20Measures&rft.jtitle=Mathematical%20Finance&rft.date=2007-10&rft.volume=17&rft.issue=4&rft.spage=599&rft.epage=627&rft.issn=0960-1627&1467-9965&rft.au=Kl%C3%B6ppel,%20Susanne&Schweizer,%20Martin&rft.genre=article&rft_id=info:doi/10.1111/j.1467-9965.2007.00317.x&
 Search print copy at ETH Library

Files in this item

FilesSizeFormatOpen in viewer

There are no files associated with this item.

Publication type

Show simple item record