Optimal acquisition of a partially hedgeable house

DOI10.1007/S11579-014-0137-XMaRDI QIDQ2342736zbMATH OpenOpenAlexFDO

Authors Fernando Zapatero, Coskun Cetin

Publication date 29 April 2015

Published in Mathematics and Financial Economics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s11579-014-0137-x

zbMATH Keywords

stopping timeincomplete marketsmartingale methods

Mathematics Subject Classification ID

Gaussian processes (60G15) Portfolio theory (91G10) Stopping times; optimal stopping problems; gambling theory (60G40)

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Cites work

• scientific article; zbMATH DE number 1095739 (Why is no real title available?)
• A generalized clark representation formula, with application to optimal portfolios
• Asset Prices in an Exchange Economy with Habit Formation
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Corporate control and real investment in incomplete markets
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation
• Monte Carlo computation of optimal portfolios in complete markets
• Pricing early exercise contracts in incomplete markets
• Utility Maximization with Discretionary Stopping
• Utility maximization in incomplete markets with random endowment

Cited in

(1)

• Optimal times to buy and sell a home

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