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Indifference pricing with uncertainty averse preferences

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We consider the indifference valuation of an uncertain monetary payoff from the perspective of an uncertainty averse decision-maker. We study how the indifference valuation depends on the decision maker’s comparative uncertainty attitudes, and we obtain a characterization of increasing, decreasing, and constant uncertainty aversion in terms of cash-subadditive, cash-superadditive, and cash-additive quasiconvex risk measures.

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en

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application/pdf

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http://eprints.lse.ac.uk/36326/1/Portrait_Giammari_A1.pdf

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