Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
7352220 | Finance Research Letters | 2018 | 9 Pages |
Abstract
We study utility indifference pricing in order to measure a random cash flow. We evaluate a utility indifference price with an exponential utility function, which we call a risk-sensitive value measure, under the class of normal mixture distributions. It has desirable properties as a value measure. We compare the risk-sensitive value measure and mean-variance approach and provide an empirical application.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara,