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Identifier to cite or link to this item: https://hdl.handle.net/10086/16932

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Title
Robust Exponential Hedging and Indifference Valuation
Creator
Creator Name
Owari, Keita Owari, Keita
尾張, 圭太 尾張, 圭太
Affiliation
Affiliation Name
Hitotsubashi University
Abstract (distribution restricted)
We discuss the problem of exponential hedging in the presence of model uncertainty expressed by a set of probability measures. This is a robust utility maximization problem with a contingent claim. We first consider the dual problem which is the minimization of penalized relative entropy over a product set of probability measures, showing the existence and variational characterizations of the solution. These results are applied to the primal problem. Then we consider the robust version of exponential utility indifference valuation, giving the representation of indifference price using a duality result.
Publisher
Graduate School of Economics, Hitotsubashi University
Issued Date
2008-10
Language
English(eng)
Resource Type
technical report
Version Type
VoR
Is Part OfRelation -
Related Title
Discussion papers ; No. 2008-09
Number of Pages
21
Appears in Collections
Discussion papers / Graduate School of Economics, Hitotsubashi University
URL
https://hdl.handle.net/10086/16932