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A Multi Period Equilibrium Pricing Model

https://doi.org/10.1155/2014/408685
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Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/fut.20122openalex-snapshot
Weather derivatives valuation and market price of weather risk
inferredcites →https://doi.org/10.1007/s00780-003-0117-0openalex-snapshot
A valuation algorithm for indifference prices in incomplete markets
inferredcites →https://doi.org/10.1007/s11403-006-0011-xopenalex-snapshot
Impact of investor’s varying risk aversion on the dynamics of asset price fluctuations
inferredcites →https://doi.org/10.1007/s12667-009-0004-7openalex-snapshot
A multi-period equilibrium pricing model of weather derivatives
inferredcites →https://doi.org/10.1016/j.eneco.2009.01.017openalex-snapshot
An equilibrium pricing model for weather derivatives in a multi-commodity setting
inferredcites →https://doi.org/10.1016/j.frl.2004.06.001openalex-snapshot
On the consequences of state dependent preferences for the pricing of financial assets
inferredcites →https://doi.org/10.1080/1350486x.2012.700575openalex-snapshot
Utility Indifference Pricing: A Time Consistent Approach
inferredcites →https://doi.org/10.1093/rfs/hhp005openalex-snapshot
Demand-Based Option Pricing
inferredcites →https://doi.org/10.1111/0022-1082.00367openalex-snapshot
Mental Accounting, Loss Aversion, and Individual Stock Returns
inferredcites →https://doi.org/10.1111/1540-6261.00546openalex-snapshot
A Generalization of the Brennan‐Rubinstein Approach for the Pricing of Derivatives
inferredcites →https://doi.org/10.1111/j.1467-9965.2002.tb00129.xopenalex-snapshot
VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
inferredcites →https://doi.org/10.1111/j.1540-6261.1979.tb02070.xopenalex-snapshot
The Pricing of Contingent Claims in Discrete Time Models
inferredcites →https://doi.org/10.1111/j.1540-6261.1981.tb03541.xopenalex-snapshot
Notes on Multiperiod Valuation and the Pricing of Options
inferredcites →https://doi.org/10.1142/s0219024901000936openalex-snapshot
INCOMPLETE MARKETS AND SHORT-SALES CONSTRAINTS: AN EQUILIBRIUM APPROACH
inferredcites →https://doi.org/10.1155/2013/841627openalex-snapshot
Time-Consistent Strategies for a Multiperiod Mean-Variance Portfolio Selection Problem
inferredcites →https://doi.org/10.1198/073500104000000127openalex-snapshot
Asset Returns and State-Dependent Risk Preferences
inferredcites →https://doi.org/10.1257/aer.90.4.1019openalex-snapshot
A Preference Regime Model of Bull and Bear Markets
inferredcites →https://doi.org/10.1287/moor.2015.0721openalex-snapshot
Equilibrium Pricing in Incomplete Markets Under Translation Invariant Preferences
inferredcites →https://doi.org/10.2139/ssrn.1694759openalex-snapshot
A General Theory of Markovian Time Inconsistent Stochastic Control Problems
inferredcites →https://doi.org/10.2139/ssrn.2206563openalex-snapshot
Asset Pricing with Regime-Dependent Preferences and Learning
inferredcites →https://doi.org/10.2139/ssrn.410722openalex-snapshot
On the Consequences of State Dependent Preferences for the Pricing of Financial Assets
inferredcites →https://doi.org/10.2307/1913837openalex-snapshot
Asset Prices in an Exchange Economy
inferredcites →https://doi.org/10.2307/3003264openalex-snapshot
The Valuation of Uncertain Income Streams and the Pricing of Options
inferredcites →https://doi.org/10.5802/msia.4openalex-snapshot
Indifference valuation in incomplete binomial models

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

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Portfolio Optimization under Correlation Constraint
inferred← citeshttps://doi.org/10.1007/s00186-019-00659-9openalex-snapshot
Optimal investment for insurance company with exponential utility and wealth-dependent risk aversion coefficient
inferred← citeshttps://doi.org/10.1007/s11579-025-00382-6openalex-snapshot
Portfolio time consistency and utility weighted discount rates
inferred← citeshttps://doi.org/10.1287/moor.2024.0772openalex-snapshot
Equilibrium Portfolio Selection Under Beliefs-Dependent Utilities
inferred← citeshttps://doi.org/10.2139/ssrn.6740838openalex-snapshot
Optimal Investment with Switching Preferences
inferred← citeshttps://doi.org/10.3390/jrfm12020083openalex-snapshot
Multi-Period Investment Strategies under Cumulative Prospect Theory
inferred← citeshttps://doi.org/10.3390/risks8010015openalex-snapshot
Portfolio Optimization under Correlation Constraint
inferred← citeshttps://doi.org/10.34257/gjmbrcvol19is5pg1openalex-snapshot
Dynamic Money Doctors under Cumulative Prospect Theory
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Stochastic production planning with regime switching
inferred← citeshttps://doi.org/10.48550/arxiv.1608.08490openalex-snapshot
Multi-period investment strategies under Cumulative Prospect Theory
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