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Risk-Sensitive Value Measure and its Applications to Mathematical Finance

Le : 05/07/2010 11h00
Par : Yoshio MYAHARA (Nagoya City University)
Lieu :
Lien web :
Résumé : We first study the evaluation problem for random cash flows, and investigate what the suitable evaluation functional of the random present values (RPV) of random cash flows is. We see that the dynamic entropic value measure is the best one for this end. We can see that this dynamic value measure is related to the risk sensitive control, and finally we conclude that the risk sensitive value measure method, which is a combination of the ideas such that monetary utility function, indifference price, real option approach, time-consistency and risk sensitive control, should be the most powerful method for the project evaluation. We see how to apply this value measure to practical project evaluation problems, and also we see how to apply this evaluation method to some problems of mathematical finance, for example optimal portfolio problems, evaluation of portfolios of financial assets, and evaluation of credit risk. Keywords: random cash flow, project evaluation, random present value, real option approach, monetary utility function, indifference price, certainty equivalence, entropic value measure, time-consistency, risk sensitive control.