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摘要翻译：
本文研究了一个动态多周期随机框架下的最优投资组合问题。风险偏好为指数型(CARA)型，风险厌恶系数的绝对值随制度的变化而变化。市场模型是不完整的，存在两种风险资产：一种是可交易的，一种是不可交易的。在这种背景下，最优投资策略是时间不一致的。在此基础上，考虑了子博弈的完美均衡策略。通过无差异估价算法计算风险资产上的未定权益的效用无差异价格。通过运行数值实验，我们检验了这些价格是如何随着模型参数的变化而变化的。
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英文标题：
《Utility Indifference Pricing: A Time Consistent Approach》
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作者：
Traian A Pirvu and Huayue Zhang
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最新提交年份：
2011
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分类信息：
一级分类：Mathematics 数学
二级分类：Optimization and Control 优化与控制
分类描述：Operations research, linear programming, control theory, systems theory, optimal control, game theory
运筹学，线性规划，控制论，系统论，最优控制，博弈论
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一级分类：Quantitative Finance 数量金融学
二级分类：Pricing of Securities 证券定价
分类描述：Valuation and hedging of financial securities, their derivatives, and structured products
金融证券及其衍生产品和结构化产品的估值和套期保值
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英文摘要：
This paper considers the optimal portfolio selection problem in a dynamic multi-period stochastic framework with regime switching. The risk preferences are of exponential (CARA) type with an absolute coefficient of risk aversion which changes with the regime. The market model is incomplete and there are two risky assets: one tradable and one non-tradable. In this context, the optimal investment strategies are time inconsistent. Consequently, the subgame perfect equilibrium strategies are considered. The utility indifference prices of a contingent claim written on the risky assets are computed via an indifference valuation algorithm. By running numerical experiments, we examine how these prices vary in response to changes in model parameters.
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PDF链接：
https://arxiv.org/pdf/1102.5075
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