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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References listed on IDEAS
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- Décamps, Jean-Paul & Mariotti, Thomas & Villeneuve, Stéphane, 2000.
"Investment Timing under Incomplete Information,"
IDEI Working Papers
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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. Full references (including those not matched with items on IDEAS)
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