Investment timing in presence of downside risk: a certainty equivalent characterization
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Publication:666451
DOI10.1007/s10436-008-0100-zzbMath1233.91232MaRDI QIDQ666451
Teppo A. Rakkolainen, Luis H. R. Alvarez
Publication date: 8 March 2012
Published in: Annals of Finance (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/s10436-008-0100-z
optimal stopping; downside risk; threshold policy; certainty equivalence; risk adjustment; exponential Lévy process
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