KOPS - The Institutional Repository of the University of Konstanz

Recursiveness of indifference prices and translation-invariant preferences

Recursiveness of indifference prices and translation-invariant preferences

Cite This

Files in this item

Files Size Format View

There are no files associated with this item.

CHERIDITO, Patrick, Michael KUPPER, 2009. Recursiveness of indifference prices and translation-invariant preferences. In: Mathematics and Financial Economics. 2(3), pp. 173-188. ISSN 1862-9679. eISSN 1862-9660. Available under: doi: 10.1007/s11579-009-0020-3

@article{Cheridito2009-09Recur-40940, title={Recursiveness of indifference prices and translation-invariant preferences}, year={2009}, doi={10.1007/s11579-009-0020-3}, number={3}, volume={2}, issn={1862-9679}, journal={Mathematics and Financial Economics}, pages={173--188}, author={Cheridito, Patrick and Kupper, Michael} }

<rdf:RDF xmlns:dcterms="http://purl.org/dc/terms/" xmlns:dc="http://purl.org/dc/elements/1.1/" xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#" xmlns:bibo="http://purl.org/ontology/bibo/" xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#" xmlns:foaf="http://xmlns.com/foaf/0.1/" xmlns:void="http://rdfs.org/ns/void#" xmlns:xsd="http://www.w3.org/2001/XMLSchema#" > <rdf:Description rdf:about="https://kops.uni-konstanz.de/rdf/resource/123456789/40940"> <dc:language>eng</dc:language> <dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-12-14T08:40:30Z</dc:date> <dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2017-12-14T08:40:30Z</dcterms:available> <dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dcterms:abstract xml:lang="eng">We consider an economic agent with dynamic preferences over a set of uncertain monetary payoffs. We assume that preferences are updated in a time-consistent way as more information is becoming available. Our main result is that the agent’s indifference prices are recursive if and only if the preferences are translation-invariant. The proof is based on a characterization of time-consistency of dynamic preferences in terms of indifference sets. As a special case, we obtain that expected utility leads to recursive indifference prices if and only if absolute risk aversion is constant, that is, the Bernoulli utility function is linear or exponential.</dcterms:abstract> <dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/rdf/resource/123456789/39"/> <dc:creator>Cheridito, Patrick</dc:creator> <dcterms:title>Recursiveness of indifference prices and translation-invariant preferences</dcterms:title> <bibo:uri rdf:resource="https://kops.uni-konstanz.de/handle/123456789/40940"/> <dc:contributor>Cheridito, Patrick</dc:contributor> <dc:creator>Kupper, Michael</dc:creator> <dc:contributor>Kupper, Michael</dc:contributor> <void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/> <dcterms:issued>2009-09</dcterms:issued> <foaf:homepage rdf:resource="http://localhost:8080/jspui"/> </rdf:Description> </rdf:RDF>

This item appears in the following Collection(s)

Search KOPS


Browse

My Account