Cookies?
Library Header Image
LSE Research Online LSE Library Services

Indifference pricing with uncertainty averse preferences

Giammarino, Flavia and Barrieu, Pauline (2013) Indifference pricing with uncertainty averse preferences. Journal of Mathematical Economics, 49 (1). pp. 2-15. ISSN 0304-4068

Full text not available from this repository.

Identification Number: 10.1016/j.jmateco.2012.09.003

Abstract

We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision maker. We study how the indifference valuation depends on the decision maker's attitudes toward uncertainty. We obtain a characterization of comparative uncertainty aversion and various characterizations of increasing, decreasing, and constant uncertainty aversion.

Item Type: Article
Official URL: http://www.journals.elsevier.com/journal-of-mathem...
Additional Information: © 2012 Elsevier
Divisions: Statistics
Centre for Analysis of Time Series
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
JEL classification: C - Mathematical and Quantitative Methods > C0 - General
Date Deposited: 15 Oct 2012 10:27
Last Modified: 21 Feb 2024 11:45
URI: http://eprints.lse.ac.uk/id/eprint/46753

Actions (login required)

View Item View Item