Michael Kupper

Princeton University

22 Chambers Street

Princeton, NJ 08544-0708

United States

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Time-Consistency of Indifference Prices and Monetary Utility Functions

Number of pages: 21 Posted: 22 Jan 2006
Patrick Cheridito and Michael Kupper
ETH Zurich and Princeton University
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Abstract:

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Dynamic utility functions, time-consistency, monetary utility functions, indifference prices, indifference sets