Rational hedging and valuation of integrated risks under constant absolute risk aversion-Reference-Cited by-同舟云学术

Rational hedging and valuation of integrated risks under constant absolute risk aversion

Published:2003-08 Issue:1 Volume:33 Page:1-28
ISSN:0167-6687
Container-title:Insurance: Mathematics and Economics
language:en
Short-container-title:Insurance: Mathematics and Economics

Author:

Becherer Dirk

Publisher

Elsevier BV

Subject

Statistics, Probability and Uncertainty,Economics and Econometrics,Statistics and Probability

Reference53 articles.

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4. The numeraire portfolio for unbounded semimartingales;Becherer;Finance and Stochastics,2001

5. Becherer, D., 2001b. Rational hedging and valuation with utility-based preferences. Ph.D. Thesis. Technical University of Berlin. http://www.edocs.tu-berlin.de/diss/2001/becherer_dirk.htm.

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