Utility maximization under increasing risk aversion in one-period models

被引：0
|
作者：
Patrick Cheridito
Christopher Summer
机构：
[1] Princeton University,ORFE
[2] Institut für Kreditwirtschaft,Wirtschaftsuniversität Wien
来源：
Finance and Stochastics | 2006年 / 10卷
关键词：
Utility maximization; utility indifference price; balanced strategy; super-replication;
D O I：
暂无
中图分类号：
学科分类号：
摘要：
It has been shown at different levels of generality that under increasing risk aversion utility indifference sell prices of a contingent claim converge to the super-replication price and the shortfalls of utility maximizing hedging portfolios starting from the super-replication price tend to zero in L1.
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页码：147 / 158
页数：11
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