Rational hedging and valuation of integrated risks under constant absolute risk aversion
We study a rational valuation and hedging principle for contingent claims which integrate tradable and non-tradable sources of risk. The principle is based on the preferences of a rational investor with constant absolute risk aversion, and uses exponential utility-indifference arguments. Properties...
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Veröffentlicht in: | Insurance, mathematics & economics mathematics & economics, 2003-08, Vol.33 (1), p.1-28 |
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Format: | Artikel |
Sprache: | eng |
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