Consumption Utility-Based Pricing and Timing of the Option to Invest with Partial Information
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Volume (Year): 39 (2012)
Issue (Month): 2 (February)
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- Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stéphane, 2000.
"Investment Timing under Incomplete Information,"
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- Jean-Paul Decamps & Thomas Mariotti & Stephane Villeneuve, 2003. "Investment Timing under Incomplete Information," STICERD - Theoretical Economics Paper Series 444, Suntory and Toyota International Centres for Economics and Related Disciplines, LSE.
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- Junjian Miao & Neng Wang, 2005. "Investment, Consumption and Hedging under Incomplete Markets," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-011, Boston University - Department of Economics, revised Sep 2006.
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- Jianjun Miao & Neng Wang, 2006. "Investment, consumption and hedging under incomplete markets," 2006 Meeting Papers 289, Society for Economic Dynamics.
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- Merton, Robert C., 1980. "On estimating the expected return on the market : An exploratory investigation," Journal of Financial Economics, Elsevier, vol. 8(4), pages 323-361, December.
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- Richard Rouge & Nicole El Karoui, 2000. "Pricing Via Utility Maximization and Entropy," Mathematical Finance, Wiley Blackwell, vol. 10(2), pages 259-276.
- Myers, Stewart C., 1977. "Determinants of corporate borrowing," Journal of Financial Economics, Elsevier, vol. 5(2), pages 147-175, November. Full references (including those not matched with items on IDEAS)
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