Comparison of utility indifference pricing and mean-variance approach under normal mixture
Comparison of utility indifference pricing and mean-variance approach under normal mixture
复制标题
正态混合下效用无差异定价与均值-方差法的比较
DOI：
10.1016/j.frl.2017.09.008
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发表时间：
2018
影响因子：
10.4
通讯作者：
Yoshio Miyahara
中科院分区：
文献类型：
--
作者：
Jiro Hodoshima;Tetsuya Misawa;Yoshio Miyahara
我们研究效用无差异定价以衡量随机现金流。在正态混合分布下，我们用指数效用函数来评估效用无差别价格，我们称之为风险敏感价值测度。它具有作为价值衡量标准的理想属性。我们比较了风险敏感价值测度和均值-方差方法，并给出了一个实证应用。
We study utility indifference pricing in order to measure a random cash flow. We evaluate a utility indifference price with an exponential utility function, which we call a risk-sensitive value measure, under the class of normal mixture distributions. It has desirable properties as a value measure. We compare the risk-sensitive value measure and mean-variance approach and provide an empirical application.