著者：Jiro Hodoshima, Tetsuya Misawa, Yoshio Miyahara
We evaluate stocks based on utility indifference pricing assuming stock returns follow the class of discrete normal mixture distributions. The utility indifference price with an exponential utility function is the only candidate for the suitable value measure. We value stocks by the inner rate of risk aversion, proposed by Miyahara (2014), which is the degree of risk aversion that makes zero the utility indifference price with the exponential utility function. We compare stock valuation by the inner rate of risk aversion and Sharpe ratio for selective U.S. stocks. Valuation by the inner rate of risk aversion is more relevant, reflecting the entire distribution of stock returns, than that by Sharpe ratio which represents performance by the first two moments.