Indifference Pricing of Weather Derivatives

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In a mean-variance framework, the authors adopt the indifference pricing approach to valuate the weather derivatives in the context of the marginal changes they cause to the investor s asset portfolio. This approach is based on the expected utility model and produces the indifference (reservation) prices. The fundamental idea for this approach stems from the basic economic princ..

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经济/贸易/财会 --  资产评估/会计
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Pricing of Weather certainty expected utility simulation results payoff mean-variance portfolio effects indifference pricing 确定性 回报
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weather derivatives indifference pricing cdds hdds
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