Investment timing in presence of downside risk: a certainty equivalent characterization
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Recommendations
- Regime uncertainty and optimal investment timing
- OPTIMAL TIME TO INVEST UNDER UNCERTAINTY WITH A SCALE CHANGE
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- The effect of uncertainty on investment timing in a real options model
- Investment timing and capacity choice under uncertainty
- Downside and Drawdown Risk Characteristics of Optimal Portfolios in Continuous Time
- Stochastic intertemporal duality: an application to investment under uncertainty
- Investment Timing Under Incomplete Information
- Investment under Uncertainty, Irreversibility and the Arrival of Information Over Time
Cites work
- scientific article; zbMATH DE number 1869203 (Why is no real title available?)
- scientific article; zbMATH DE number 6137478 (Why is no real title available?)
- A class of solvable optimal stopping problems of spectrally negative jump diffusions
- American options: the EPV pricing model
- Irreversible decisions under uncertainty. Optimal stopping made easy
- Optimal stopping and perpetual options for Lévy processes
- Optimal stopping made easy
- Perpetual American Options Under Lévy Processes
Cited in
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