Optimal acquisition of a partially hedgeable house

DOI10.1007/S11579-014-0137-XzbMATH Open1319.91138OpenAlexW3124058464MaRDI QIDQ2342736FDOQ2342736

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

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zbMATH Keywords

stopping timeincomplete marketsmartingale methods

Mathematics Subject Classification ID

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

Cites Work

• Title not available (Why is that?)
• Exponential utility indifference valuation in two Brownian settings with stochastic correlation
• Utility maximization in incomplete markets with random endowment
• Corporate control and real investment in incomplete markets
• A generalized clark representation formula, with application to optimal portfolios
• Utility Maximization with Discretionary Stopping
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Pricing early exercise contracts in incomplete markets
• Asset Prices in an Exchange Economy with Habit Formation
• Monte Carlo computation of optimal portfolios in complete markets

Cited In (1)

• Optimal times to buy and sell a home

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