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Real options with constant relative risk aversion · Study

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ArticleReal options with constant relative risk aversion

Vicky Henderson2002

Article2002

Real options with constant relative risk aversion

Vicky Henderson · David G. Hobson

151 citations·0/0 files stored·Journal of Economic Dynamics and Control

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Stochastic processes and financial applications Capital Investment and Risk Analysis Risk and Portfolio Optimization

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References

1994Investment Under Uncertainty.1994Investment under Uncertainty 2007Brownian Motion and Stochastic Calculus 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case 1993Dynamic Asset Pricing Theory.1988Brownian Motion and Stochastic Calculus 1990Portfolio Selection with Transaction Costs 1990Hedging of contingent claims under incomplete information

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2015A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems 2003Rational hedging and valuation of integrated risks under constant absolute risk aversion 2006Optimal Hedging with Basis Risk 2006Sensitivity analysis of utility-based prices and risk-tolerance wealth processes 2004Performance of utility-based strategies for hedging basis risk 2005The impact of the market portfolio on the valuation, incentives and optimality of executive stock options

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Year2002

Typearticle

Published2002-10-08

VenueJournal of Economic Dynamics and Control

ISSN-L0165-1889

Languageen

Citations151

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/s0165-1889(01)00052-5

openalex_workW2072810788

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2007Horizon-unbiased utility functions

2011Optimal investment under operational flexibility, risk aversion, and uncertainty