Utility Indifference Pricing: A Time Consistent Approach
Utility Indifference Pricing: A Time Consistent Approach
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DOI：
10.1080/1350486x.2012.700575
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发表时间：
2011-02
影响因子：
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通讯作者：
T. Pirvu;Huayue Zhang
中科院分区：
文献类型：
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作者：
T. Pirvu;Huayue Zhang
摘要本文考虑了动态多期随机框架下的最优投资组合问题。风险偏好是指数（CARA）型的风险厌恶的绝对系数，随着制度的变化。市场模型是不完全的，有两种风险资产：可交易和不可交易。在这种情况下，最优投资策略是时间不一致的。因此，考虑子博弈完美均衡策略。风险资产上的未定权益的效用无差异要价是通过无差异估值算法计算的。通过运行数值实验，我们研究了这个价格是如何随着模型参数的变化而变化的。
Abstract This article considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion that changes with the regime. The market model is incomplete and there are two risky assets: tradable and non-tradable. In this context, the optimal investment strategies are time inconsistent. Consequently, the subgame perfect equilibrium strategies are considered. The utility indifference ask price of a contingent claim written on the risky assets is computed through an indifference valuation algorithm. By running numerical experiments, we examine how this price varies in response to changes in model parameters.