Comparison of utility indifference pricing and mean-variance approach under a normal mixture distribution with time-varying volatility

年度：2017 NO：17301 著者：Jiro Hodoshima and Toshiyuki Yamawake

We evaluate a utility indifference price with an exponential utility function, which we call a risk-sensitive value measure, under a normal mixture distribution with time-varying volatility. We compare the risk-sensitive value measure and mean-variance approach and provide an empirical application.