A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS

DOI10.1142/S021902490600386XMaRDI QIDQ5487835zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

optimal controloptimal stoppingreal optionsrisk aversionincomplete markets

Mathematics Subject Classification ID

Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Optimality conditions for problems involving randomness (49K45) Applications of stochastic analysis (to PDEs, etc.) (60H30)

Recommendations

• On an irreversible investment problem with two-factor uncertainty
• Hedging in incomplete markets with HARA utility
• Explicit Solution of a Stochastic, Irreversible Investment Problem and Its Moving Threshold
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• Valuing the option to invest in an incomplete market

Cites work

• Consumption and Portfolio Selection with Labor Income: A Continuous Time Approach
• Explicit solutions to an optimal portfolio choice problem with stochastic income
• Hedging American contingent claims with constrained portfolios
• Hedging in incomplete markets with HARA utility
• Optimal Investment With Undiversifiable Income Risk
• Optimal consumption and portfolio policies with an infinite horizon: Existence and convergence
• Optimal hedging and equilibrium in a dynamic futures market
• Optimal investment and consumption models with non-linear stock dynamics
• Optimum consumption and portfolio rules in a continuous-time model
• Utility Maximization with Discretionary Stopping

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
• Optimal liquidity management and hedging in the presence of a non-predictable investment opportunity
• INVESTMENT TIMING UNDER REGIME SWITCHING
• Perpetual American options in incomplete markets: the infinitely divisible case
• Real options with competition and incomplete markets

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