Investment timing in presence of downside risk: a certainty equivalent characterization

DOI10.1007/s10436-008-0100-zzbMath1233.91232OpenAlexW2094007783MaRDI 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

zbMATH Keywords

optimal stoppingdownside riskthreshold policycertainty equivalencerisk adjustmentexponential Lévy process

Mathematics Subject Classification ID

Optimal stochastic control (93E20) Portfolio theory (91G10)

Related Items (2)

A model for irreversible investment with construction and revenue uncertainty ⋮ Symmetric equilibrium strategies in game theoretic real option models

Cites Work

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• American options: the EPV pricing model
• Optimal stopping made easy
• Optimal stopping and perpetual options for Lévy processes
• Irreversible decisions under uncertainty. Optimal stopping made easy
• A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions
• Perpetual American Options Under Lévy Processes

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