A solution approach to valuation with unhedgeable risks (Q5942933)
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scientific article; zbMATH DE number 1646509
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A solution approach to valuation with unhedgeable risks |
scientific article; zbMATH DE number 1646509 |
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A solution approach to valuation with unhedgeable risks (English)
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16 September 2001
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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.
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non-traded assets
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stochastic factors
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unhedgeable risks
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portfolio management
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reduced form solutions
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optimal investiment
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regularity
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verification results
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optimal prices
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