A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS
DOI10.1142/S021902490600386XzbMATH Open1138.91447OpenAlexW2115629858MaRDI QIDQ5487835FDOQ5487835
Authors: Vicky Henderson, David Hobson 
Publication date: 12 September 2006
Published in: International Journal of Theoretical and Applied Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1142/s021902490600386x
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Cites Work
- Optimum consumption and portfolio rules in a continuous-time model
- Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
- Explicit solutions to an optimal portfolio choice problem with stochastic income
- Optimal hedging and equilibrium in a dynamic futures market
- Hedging American contingent claims with constrained portfolios
- Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
- Utility Maximization with Discretionary Stopping
- Hedging in incomplete markets with HARA utility
- Optimal Investment With Undiversifiable Income Risk
- Optimal investment and consumption models with non-linear stock dynamics
Cited In (7)
- Real option model of dynamic growth processes with consumption
- Mathematical model for investment in gold market: a real option approach
- Stochastic control methods and variational formulations in the real options approach to investment
- INVESTMENT TIMING UNDER REGIME SWITCHING
- Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity
- Perpetual American options in incomplete markets: the infinitely divisible case
- Real options with competition and incomplete markets
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