A NOTE ON IRREVERSIBLE INVESTMENT, HEDGING AND OPTIMAL CONSUMPTION PROBLEMS

DOI10.1142/S021902490600386XzbMath1138.91447OpenAlexW2115629858MaRDI QIDQ5487835

Vicky Henderson, David G. 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 stoppingincomplete marketsreal optionsrisk aversion

Mathematics Subject Classification ID

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

Related Items (2)

INVESTMENT TIMING UNDER REGIME SWITCHING ⋮ Perpetual American options in incomplete markets: the infinitely divisible case

Cites Work

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

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