Horizon-unbiased utility functions
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Publication:2464859
DOI10.1016/j.spa.2007.03.013zbMath1131.60030OpenAlexW2134436675MaRDI QIDQ2464859
David G. Hobson, Vicky Henderson
Publication date: 17 December 2007
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spa.2007.03.013
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
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- Corporate control and real investment in incomplete markets
- Hedging American contingent claims with constrained portfolios
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- Pricing early exercise contracts in incomplete markets
- OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE
- VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION
- Utility Maximization with Discretionary Stopping
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