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Horizon-unbiased utility functions
12 references·14 citing·38 second hop
Horizon-unbiased utility functions (2007)Horizon-unbiased utility functionsValuing the option to invest in an incomplete market (2007)Valuing the option to invest …Optimal Hedging with Basis Risk (2006)Optimal Hedging with Basis Ri…From Stochastic Calculus to Mathematical Finance (2006)From Stochastic Calculus to M…Corporate control and real investment in incomplete markets (2006)Corporate control and real in…VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION (2002)VALUATION OF CLAIMS ON NONTRA…Real options with constant relative risk aversion (2002)Real options with constant re…Utility Maximization with Discretionary Stopping (2000)Utility Maximization with Dis…Hedging American contingent claims with constrained portfolios (1998)Hedging American contingent c…Investment Under Uncertainty. 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this work references cited by second hop

References

  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1971Optimum consumption and portfolio rules in a continuous-time model5,966 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 2002VALUATION OF CLAIMS ON NONTRADED ASSETS USING UTILITY MAXIMIZATION257 cited
  • 2000Utility Maximization with Discretionary Stopping235 cited
  • 2007Valuing the option to invest in an incomplete market188 cited
  • 2002Real options with constant relative risk aversion151 cited
  • 1998Hedging American contingent claims with constrained portfolios122 cited
  • 2006From Stochastic Calculus to Mathematical Finance112 cited
  • 2006Optimal Hedging with Basis Risk103 cited
  • 2006Corporate control and real investment in incomplete markets84 cited

Cited by

  • 2010Stochastic Partial Differential Equations and Portfolio Choice75 cited
  • 2008Risk aversion and block exercise of executive stock options63 cited
  • 2009A dual characterization of self-generation and exponential forward performances55 cited
  • 2011

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CONDITIONAL CERTAINTY EQUIVALENT
45 cited
  • 2008OPTIMAL TIMING FOR AN INDIVISIBLE ASSET SALE44 cited
  • 2007Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk42 cited
  • 2015OPTIMAL INVESTMENT FOR ALL TIME HORIZONS AND MARTIN BOUNDARY OF SPACE‐TIME DIFFUSIONS39 cited
  • 2013An Exact Connection between Two Solvable SDEs and a Nonlinear Utility Stochastic PDE39 cited
  • 2017Representation of Homothetic Forward Performance Processes in Stochastic Factor Models via Ergodic and Infinite Horizon BSDE32 cited
  • 2009Exponential Hedging with Optimal Stopping and Application to Employee Stock Option Valuation31 cited
  • 2010Maturity-Independent Risk Measures30 cited
  • 2018Dynamically consistent investment under model uncertainty: the robust forward criteria29 cited
  • 2010Optimal R&D investment for a risk-averse entrepreneur29 cited
  • 2019Forward Rank-Dependent Performance Criteria: Time-Consistent Investment Under Probability Distortion27 cited