In an incomplete market model, we consider financial agents whose investment criteria are modeled by forward exponential performance processes. The problem of contingent claim indifference valuation is first addressed, and a number of properties are proved and discussed. Special attention is given to the comparison between the forward exponential and the backward exponential utility indifference valuation. In addition, we construct the problem of optimal risk sharing in this forward setting and solve it when the agents' forward performance criteria are exponential.
No takes yet. Share an insight, caveat, or question.
Michail Anthropelos (2014) studied this question.
Synapse has enriched 5 closely related papers on similar clinical questions. Consider them for comparative context: