A solution approach to valuation with unhedgeable risks (Q5942933)
From MaRDI portal
!
This is the item page for this Wikibase entity, intended for internal use and editing purposes. Please use the normal view instead:
scientific article; zbMATH DE number 1646509
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
||
| English | A solution approach to valuation with unhedgeable risks |
scientific article; zbMATH DE number 1646509 |
Statements
A solution approach to valuation with unhedgeable risks (English)
0 references
16 September 2001
0 references
The author considers an optimal investment model of a single agent in markets with stochastically changing investment opportunities. For modeling the prices of the primitive assets, diffusion processes with coefficients which evolve according to the correlated diffusion factors are used. The reduced form of solutions, regularity and verification results for the value functions and the optimal prices are given. Examples and directions for future research are proposed.
0 references
non-traded assets
0 references
stochastic factors
0 references
unhedgeable risks
0 references
portfolio management
0 references
reduced form solutions
0 references
optimal investiment
0 references
regularity
0 references
verification results
0 references
optimal prices
0 references
0.84562165
0 references
0.8289745
0 references
0.8258488
0 references
0.82475257
0 references
0.82445633
0 references
