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Investment, Consumption and Hedging Under Incomplete Markets
16 references·7 citing·28 second hop
Investment, Consumption and Hedging Under Incomplete Markets (2005)Investment, Consumption and Hedging Under…Theory of rational option pricing (2005)Theory of rational option pri…Numerical Methods in Economics (1998)Numerical Methods in EconomicsInvestment Under Uncertainty. (1994)Investment Under Uncertainty.Investment under Uncertainty (1994)Investment under UncertaintyDynamic Asset Pricing Theory. (1993)Dynamic Asset Pricing Theory.Saving and Liquidity Constraints (1991)Saving and Liquidity Constrai…Precautionary Saving in the Small and in the Large (1990)Precautionary Saving in the S…Optimal consumption and portfolio policies when asset prices follow a diffusion process (1989)Optimal consumption and portf…Evaluating Natural Resource Investments (1985)Evaluating Natural Resource I…The Value of Waiting to Invest (1982)The Value of Waiting to InvestIrreversibility, Uncertainty, and Cyclical Investment (1980)Irreversibility, Uncertainty,…Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence (1978)Stochastic Implications of th…Theory of Rational Option Pricing (1973)Theory of Rational Option Pri…The Pricing of Options and Corporate Liabilities (1973)The Pricing of Options and Co…Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Theory of the Consumption Function (1957)Theory of the Consumption Fun…SME investment and financing under asymmetric information (2021)SME investment and financing …Pricing and hedging in incomplete markets with model uncertainty (2019)Pricing and hedging in incomp…Contingent capital, capital structure and investment (2015)Contingent capital, capital s…Two new equity default swaps with idiosyncratic risk (2014)Two new equity default swaps …Investment under Uncertainty with Financial Constraints (2014)Investment under Uncertainty …Investment, Liquidity, and Financing Under Uncertainty (2013)Investment, Liquidity, and Fi…Entrepreneurial Finance and Non-diversifiable Risk (2009)Entrepreneurial Finance and N…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)Capital Theory and Investment Behavior (1963)Option pricing when underlying stock returns are discontinuous (1976)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Joint Ventures and the Option to Expand and Acquire (1991)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Understanding business cycles (1977)The Cost of Capital, Corporation Finance and the Theory of Investment (1958)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Theory of the firm: Managerial behavior, agency costs and ownership structure (1976)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Trends and random walks in macroeconmic time series (1982)Testing for a Unit Root in Time Series Regression (1988)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)Option pricing: A simplified approach (1979)Business conditions and expected returns on stocks and bonds (1989)Efficient Capital Markets: II (1991)Capital markets research in accounting (2001)
this work references cited by second hop

References

  • 1973The Pricing of Options and Corporate Liabilities29,064 cited
  • 1994Investment Under Uncertainty.9,497 cited
  • 1994Investment under Uncertainty9,016 cited
  • 1973Theory of Rational Option Pricing8,060 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1980Irreversibility, Uncertainty, and Cyclical Investment4,130 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 1978Stochastic Implications of the Life Cycle-Permanent Income Hypothesis: Theory and Evidence3,581 cited
  • 1957Theory of the Consumption Function3,335 cited
  • 1993Dynamic Asset Pricing Theory.2,891 cited
  • 1998Numerical Methods in Economics2,587 cited
  • 1985Evaluating Natural Resource Investments2,379 cited
  • 1990Precautionary Saving in the Small and in the Large1,850 cited
  • 1991Saving and Liquidity Constraints1,650 cited
  • 1989Optimal consumption and portfolio policies when asset prices follow a diffusion process1,613 cited

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Cited by

  • 2014Investment under Uncertainty with Financial Constraints38 cited
  • 2009Entrepreneurial Finance and Non-diversifiable Risk36 cited
  • 2019Pricing and hedging in incomplete markets with model uncertainty29 cited
  • 2013Investment, Liquidity, and Financing Under Uncertainty26 cited
  • 2014Two new equity default swaps with idiosyncratic risk25 cited
  • 2015Contingent capital, capital structure and investment23 cited
  • 2021SME investment and financing under asymmetric information18 cited