Who is my neighbour? Understanding indifference as a vice

Indifference is often described as a vice. Yet who is indifferent; to what; and in what way is poorly understood, and frequently subject to controversy and confusion. This paper proposes a framework for the interpretation and analysis of ethically problematic forms of indifference in terms of how different states of indifference can be either more or less dynamic, or more or less sensitive to the nature and state of their object

Two-moment decision model for location-scale family with background asset

This paper studies the impact of background risk on the indifference curve. We first study the shape of the indifference curves for the investment with background risk for risk averters, risk seekers, and risk-neutral investors. Thereafter, we study the comparative statics of the change in the shapes of the indifference curves when the means and the standard deviations of the returns of the financial asset and/or the background asset change. In addition, we draw inference on risk vulnerability and investment decisions in financial crises and bull and bear markets

Alex & I: Against Indifference

This text and photo essay concerns a series of portraits made with a community of Tamil refugees living in Bangkok who refer to themselves as ‘the Bachelors.’ The project was initiated by refugee and one-time media figure, Sanjeev ‘Alex’ Kuhendrarajah who hoped his peers would tell their own stories to an ‘international community.’ With reference to Judith Butler’s Frames of War (2009), I have sought to ‘discursively frame’ the images by considering the discrimination these young single men encounter living in the margins of this South Asian metropolis, awaiting the outcomes of their re-settlement applications.

Bounded solutions to backward SDE's with jumps for utility optimization and indifference hedging

We prove results on bounded solutions to backward stochastic equations driven by random measures. Those bounded BSDE solutions are then applied to solve different stochastic optimization problems with exponential utility in models where the underlying filtration is noncontinuous. This includes results on portfolio optimization under an additional liability and on dynamic utility indifference valuation and partial hedging in incomplete financial markets which are exposed to risk from unpredictable events. In particular, we characterize the limiting behavior of the utility indifference hedging strategy and of the indifference value process for vanishing risk aversion.Comment: Published at http://dx.doi.org/10.1214/105051606000000475 in the Annals of Applied Probability (http://www.imstat.org/aap/) by the Institute of Mathematical Statistics (http://www.imstat.org

Indifference to Anti-Humean Chances

An indifference principle says that your credences should be distributed uniformly over each of the possibilities you recognise. A chance deference principle says that your credences should be aligned with the chances. My thesis is that, if we are anti-Humeans about chance, then these two principles are incompatible. Anti-Humeans think that it is possible for the actual frequencies to depart from the chances. So long as you recognise possibilities like this, you cannot both spread your credences evenly and defer to the chances. I discuss some weaker forms of indifference which will allow anti-Humeans to defer to the chances

Skiba points for small discount rates

The present article uses perturbation techniques to approximate the value function of an economic minimisation problem for small values of the discount rate. This can be used to obtain the approximate location of Skiba states (or indifference thresholds) in the problem; these are states for which there are two distinct optimal state trajectories, converging to different optimal steady states. It is shown that the sets of indifference thresholds are locally smooth manifolds. For a simple example, all relevant quantities are computed explicitely. Moreover, the approximation can be used to obtain parameter-dependent approximatons to indifference manifolds.

Certainty Equivalent and Utility Indifference Pricing for Incomplete Preferences via Convex Vector Optimization

For incomplete preference relations that are represented by multiple priors and/or multiple -- possibly multivariate -- utility functions, we define a certainty equivalent as well as the utility buy and sell prices and indifference price bounds as set-valued functions of the claim. Furthermore, we motivate and introduce the notion of a weak and a strong certainty equivalent. We will show that our definitions contain as special cases some definitions found in the literature so far on complete or special incomplete preferences. We prove monotonicity and convexity properties of utility buy and sell prices that hold in total analogy to the properties of the scalar indifference prices for complete preferences. We show how the (weak and strong) set-valued certainty equivalent as well as the indifference price bounds can be computed or approximated by solving convex vector optimization problems. Numerical examples and their economic interpretations are given for the univariate as well as for the multivariate case