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

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  • Luis Alvarez

    ()

  • Teppo Rakkolainen

    ()

Abstract

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File URL: http://hdl.handle.net/10.1007/s10436-008-0100-z
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Bibliographic Info

Article provided by Springer in its journal Annals of Finance.

Volume (Year): 6 (2010)
Issue (Month): 3 (July)
Pages: 317-333

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Handle: RePEc:kap:annfin:v:6:y:2010:i:3:p:317-333

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Web page: http://www.springerlink.com/link.asp?id=112370

Related research

Keywords: Downside risk; Certainty equivalence; Exponential Lévy process; Optimal stopping; Risk adjustment; Threshold policy; C61; G31;

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References

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  1. Svetlana Boyarchenko & Sergei Levendorskii, 2004. "Practical guide to real options in discrete time," Finance 0405016, EconWPA.
  2. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "American options: the EPV pricing model," Annals of Finance, Springer, vol. 1(3), pages 267-292, 08.
  3. Luis H. R. Alvarez E. & Pekka Matom\"aki & Teppo A. Rakkolainen, 2013. "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Papers 1302.4181, arXiv.org.
  4. Ernesto Mordecki, 2002. "Optimal stopping and perpetual options for Lévy processes," Finance and Stochastics, Springer, vol. 6(4), pages 473-493.
  5. Svetlana Boyarchenko, 2004. "Irreversible Decisions and Record-Setting News Principles," American Economic Review, American Economic Association, vol. 94(3), pages 557-568, June.
  6. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "General option exercise rules, with applications to embedded options and monopolistic expansion," Finance 0511001, EconWPA.
  7. Svetlana Boyarchenko & Sergei Levendorskii, 2005. "Discount factors ex post and ex ante, and discounted utility anomalies," Microeconomics 0510013, EconWPA, revised 17 Nov 2005.
  8. Boyarchenko, Svetlana & Levendorskii[caron], Sergei, 2007. "Optimal stopping made easy," Journal of Mathematical Economics, Elsevier, vol. 43(2), pages 201-217, February.
  9. McDonald, Robert & Siegel, Daniel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, MIT Press, vol. 101(4), pages 707-27, November.
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Citations

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Cited by:
  1. Luis H. R. Alvarez & Teppo A. Rakkolainen, 2006. "A Class of Solvable Optimal Stopping Problems of Spectrally Negative Jump Diffusions," Discussion Papers 9, Aboa Centre for Economics.
  2. Thijssen, Jacco J.J. & Huisman, Kuno J.M. & Kort, Peter M., 2012. "Symmetric equilibrium strategies in game theoretic real option models," Journal of Mathematical Economics, Elsevier, vol. 48(4), pages 219-225.
  3. Jacco J.J. Thijssen, . "Equilibria in Continuous Time Preemption Games with Markovian Payoffs," Discussion Papers 11/17, Department of Economics, University of York.

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