A Note on Indifference Pricing with Dynamic Quasiconcave Preferences | Zendy

Giammarino Flavia | Zendy

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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.

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