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

Year：2017 NO：17301 Author：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.

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