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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

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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
Subjects: H Social Sciences > HG Finance
Q Science > QA Mathematics
Sets: Departments > Statistics
Collections > Economists Online
Research centres and groups > Centre for the Analysis of Time Series (CATS)
Research centres and groups > Risk and Stochastics Group
Date Deposited: 15 Oct 2012 10:27
Last Modified: 31 Jan 2013 11:47
URI: http://eprints.lse.ac.uk/id/eprint/46753

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