Forward indifference valuation for dynamically incoming projects  

作　　者：Haoran Wang 

机构地区：[1]444 Warren Street,Jersey City,New Jersey,07302,USA

出　　处：《Probability, Uncertainty and Quantitative Risk》2024年第2期219-234,共16页概率、不确定性与定量风险（英文）

摘　　要：Classical indifference valuation,a widely studied approach in incomplete markets,uses critically the a priori knowledge of the characteristics(arrival,maturity,payoff structure)of the projects in consideration.This assumption,however,may not accommodate realistic scenarios in which projects,not initially anticipated,arrive at later times.To accommodate this,we employ forward indifference valuation criteria,which by construction are flexible enough to adapt to such"non-anticipated"cases while yielding time-consistent indifference prices.We consider and analyze in detail two representative cases:valuation adjustments due to incoming non-anticipated project and the relative forward indifference valuation of new projects in relation to existing ones.

关 键 词：Forward indifference valuation Dynamically incoming projects Indifference pricing Relative forward indifference valuation Predictable forward criteria Adaptive forward criteria Risk decomposition 

分 类 号：O21[理学—概率论与数理统计]