Sensitivity analysis of utility based prices and risk-tolerance wealth processes
نویسنده
چکیده
In the general framework of a semimartingale financial model and a utility function U defined on the positive real line, we compute the firstorder expansion of marginal utility-based prices with respect to a “small” number of random endowments. We show that this linear approximation has some important qualitative properties if and only if there is a risk-tolerance wealth process. In particular, they hold true in the following polar cases:
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تاریخ انتشار 2004