Risk Aversion, Indivisible Timing Options, and Gambling
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DOI: 10.1287/opre.1120.1131
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- Ni, Jian & Chu, Lap-Keung & Yen, Benjamin P.C., 2016. "Coordinating operational policy with financial hedging for risk-averse firms," Omega, Elsevier, vol. 59(PB), pages 279-289.
- Brunovský, Pavol & Černý, Aleš & Komadel, Ján, 2018.
"Optimal trade execution under endogenous pressure to liquidate: Theory and numerical solutions,"
European Journal of Operational Research, Elsevier, vol. 264(3), pages 1159-1171.
- Pavol Brunovsk'y & Alev{s} v{C}ern'y & J'an Komadel, 2017. "Optimal Trade Execution Under Endogenous Pressure to Liquidate: Theory and Numerical Solutions," Papers 1707.07284, arXiv.org.
- David Hobson & Yeqi Zhu, 2014. "Optimal consumption and sale strategies for a risk averse agent," Papers 1409.3394, arXiv.org.
- Vasquez, Markus, 2017. "Utility of wealth with many indivisibilities," Journal of Mathematical Economics, Elsevier, vol. 71(C), pages 20-27.
- Volker Krätschmer & Marcel Ladkau & Roger J. A. Laeven & John G. M. Schoenmakers & Mitja Stadje, 2018. "Optimal Stopping Under Uncertainty in Drift and Jump Intensity," Mathematics of Operations Research, INFORMS, vol. 43(4), pages 1177-1209, November.
- Choi, Kyoung Jin & Kwak, Minsuk & Shim, Gyoocheol, 2017. "Time preference and real investment," Journal of Economic Dynamics and Control, Elsevier, vol. 83(C), pages 18-33.
- Jakub Trybu{l}a, 2014. "Merton problem with one additional indivisible asset," Papers 1403.3223, arXiv.org.
- Sadoghi, Amirhossein & Vecer, Jan, 2022. "Optimal liquidation problem in illiquid markets," European Journal of Operational Research, Elsevier, vol. 296(3), pages 1050-1066.
- Amirhossein Sadoghi & Jan Vecer, 2022. "Optimal liquidation problem in illiquid markets," Post-Print hal-03696768, HAL.
- Tsionas, Mike G. & Mamatzakis, Emmanuel & Ongena, Steven, 2020. "Does risk aversion affect bank output loss? The case of the Eurozone," European Journal of Operational Research, Elsevier, vol. 282(3), pages 1127-1145.
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Keywords
finance; portfolio; corporate finance; dynamic programming/optimal control; applications; decision analysis; sequential; utility/preferences; theory;All these keywords.
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