Indifference Pricing with Exponential Utility

2004 ◽  
pp. 323-328 ◽  
Author(s):  
Christophe Stricker
Keyword(s):  
Exponential Utility ◽  
Indifference Pricing

scholarly journals PORTFOLIO OPTIMIZATION IN A DEFAULT MODEL UNDER FULL/PARTIAL INFORMATION

2015 ◽  
Vol 29 (4) ◽  
pp. 565-587 ◽  
Author(s):  
Thomas Lim ◽  
Marie-Claire Quenez
Keyword(s):  
Utility Function ◽  
Partial Information ◽  
Backward Stochastic Differential Equation ◽  
Asset Price ◽  
Incomplete Market ◽  
Exponential Utility ◽  
Indifference Pricing ◽  
Insider Information ◽  
Default Time ◽  
Default Intensity

In this paper, we consider a financial market with an asset exposed to a risk inducing a jump in the asset price, and which can still be traded after the default time. We use a default-intensity modeling approach, and address in this incomplete market context the problem of maximization of expected utility from terminal wealth for logarithmic, power and exponential utility functions. We study this problem as a stochastic control problem both under full and partial information. Our contribution consists of showing that the optimal strategy can be obtained by a direct approach for the logarithmic utility function, and the value function for the power (resp. exponential) utility function can be determined as the minimal (resp. maximal) solution of a backward stochastic differential equation. For the partial information case, we show how the problem can be divided into two problems: a filtering problem and an optimization problem. We also study the indifference pricing approach to evaluate the price of a contingent claim in an incomplete market and the information price for an agent with insider information.

scholarly journals Estimation of Approximate Values of the Optimum Points on Efficient Portfolios Curve

2007 ◽  
Vol 6 (1) ◽  
pp. 99-106
Author(s):  
Henryk Kowgier
Keyword(s):  
Utility Functions ◽  
Exponential Utility ◽  
Efficient Portfolios

Estimation of Approximate Values of the Optimum Points on Efficient Portfolios Curve In the paper a method is found for estimating approximate optimum points on efficient portfolios curve (risk-profit) that are connected with exponential utility functions being very frequently preferred in practice by investors.

Optimal portfolio choices under the SVCEV model with exponential utility

2021 ◽  
Author(s):  
Beidi Peng ◽  
Jiling Cao ◽  
Wenjun Zhang
Keyword(s):  
Optimal Portfolio ◽  
Exponential Utility ◽  
Portfolio Choices
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