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ArticleHorizon-unbiased utility functions

Vicky Henderson2007

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Articlebronze2007

Horizon-unbiased utility functions

Vicky Henderson · David G. Hobson

76 citations·0/0 files stored·Stochastic Processes and their Applications

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Stochastic processes and financial applications Economic theories and models Risk and Portfolio Optimization

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References

1994Investment Under Uncertainty.1994Investment under Uncertainty 1971Optimum consumption and portfolio rules in a continuous-time model 1982The Value of Waiting to Invest 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION 2000Utility Maximization with Discretionary Stopping 2007Valuing the option to invest in an incomplete market 2002Real options with constant relative risk aversion

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2010Stochastic Partial Differential Equations and Portfolio Choice 2008Risk aversion and block exercise of executive stock options 2009A dual characterization of self-generation and exponential forward performances 2011CONDITIONAL CERTAINTY EQUIVALENT 2008OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE 2007Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk

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2010Real Options Games in Complete and Incomplete Markets with Several Decision Makersarticle · 7 shared references 2007Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic riskarticle · 6 shared references 2011Getting Real with Real Options: A Utility–Based Approach for Finite–Time Investment in Incomplete Marketsarticle · 6 shared references 2015A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systemsarticle · 5 shared references 2005Investment, Consumption and Hedging Under Incomplete Marketspreprint · 5 shared references 2015Volatility Risks and Growth Optionsarticle · 5 shared references

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Year2007

Typearticle

Published2007-06-04

VenueStochastic Processes and their Applications

ISSN-L0304-4149

Languageen

Citations76

Files0 public / 0

ShelfStochastic processes and financial applications

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doi10.1016/j.spa.2007.03.013

openalex_workW2134436675

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2015

OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE‐TIME DIFFUSIONS

2013An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE