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A Note on Indifference Pricing with Dynamic Quasiconcave Preferences
Author(s) -
Giammarino Flavia
Publication year - 2015
Publication title -
economic notes
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.274
H-Index - 19
eISSN - 1468-0300
pISSN - 0391-5026
DOI - 10.1111/ecno.12043
Subject(s) - quasiconvex function , measure (data warehouse) , preference , dynamic pricing , economics , decision maker , mathematical economics , monotone polygon , regular polygon , econometrics , microeconomics , mathematical optimization , mathematics , computer science , convex analysis , convex optimization , geometry , management science , database
In this paper we study the problem of indifference pricing in a discrete‐time setting where the decision‐maker's preferences are represented by a general monotone increasing and quasiconcave dynamic preference functional. We show that the indifference price is a dynamic convex risk measure and we introduce as an example the dynamic robust entropic risk measure.