A solution approach to valuation with unhedgeable risks
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References listed on IDEAS
- Ioannis Karatzas & Jaksa Cvitanic, 1999. "On dynamic measures of risk," Finance and Stochastics, Springer, vol. 3(4), pages 451-482.
- N. El Karoui & S. Peng & M. C. Quenez, 1997. "Backward Stochastic Differential Equations in Finance," Mathematical Finance, Wiley Blackwell, vol. 7(1), pages 1-71.
- Helyette Geman & D. Madan, 2004. "Pricing in Incomplete Markets : From Absence of Good Deals to Acceptable Risk," Post-Print halshs-00144406, HAL.
- repec:dau:papers:123456789/1063 is not listed on IDEAS
- Harrison, J. Michael & Pliska, Stanley R., 1981. "Martingales and stochastic integrals in the theory of continuous trading," Stochastic Processes and their Applications, Elsevier, vol. 11(3), pages 215-260, August.
More about this item
KeywordsNon-traded assets; stochastic factors; unhedgeable risks; portfolio management; reduced form solutions;
- C6 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling
- D9 - Microeconomics - - Micro-Based Behavioral Economics
- G1 - Financial Economics - - General Financial Markets
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