Abstract: This paper applies the stochastic dynamic programming theory in Markov Decision Process (MDP) to examine the discounts of illiquid assets under short sale constraints using utility indifference pricing measure. The simulation results show that the illiquid assets only discount under short sale constraints. The discount ratios are related with the percentage of illiquid wealth, the restricted terms of illiquid assets and the risk aversion of investors
Abstract: The study of asset price characteristics of stochastic growth models such as the risk-free...
The valuation process that economic agents undergo for investments with uncertain payoff typically d...
Many stocks are subject to some kinds of resale restrictions in the \u85nancial markets.In this pape...
This article fuses two pieces of theory to make a tractable model for asset pricing. The first is th...
We use the dynamic programming approach to derive an equation for the utility indifference price of ...
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to line...
Abstract: The paper analyzes the consumption-based asset-pricing problems on a dynamic ris
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...
The aim of this dissertation is to study exponential indifference pricing in a basis risk model of o...
AbstractIn this paper we study the problem of utility indifference pricing in a constrained financia...
I am very grateful to my supervisor Dr Sandjai Bhulai from the Vrije Universiteit for his encouragin...
In this dissertation, we study and examine utility-based hedging of the optimal portfolio choice pro...
We develop a model of optimal asset allocation based on a utility framework. This applies to a more ...
This paper considers a problem of asset pricing for case when the short-term interest rate process d...
We adress the maximization problem of expected utility from terminal wealth. The special feature of ...
Abstract: The study of asset price characteristics of stochastic growth models such as the risk-free...
The valuation process that economic agents undergo for investments with uncertain payoff typically d...
Many stocks are subject to some kinds of resale restrictions in the \u85nancial markets.In this pape...
This article fuses two pieces of theory to make a tractable model for asset pricing. The first is th...
We use the dynamic programming approach to derive an equation for the utility indifference price of ...
Abstract. Utility indifference pricing and hedging theory is presented, showing how it leads to line...
Abstract: The paper analyzes the consumption-based asset-pricing problems on a dynamic ris
Utility indifference pricing and hedging theory is presented, showing how it leads to linear or to n...
The aim of this dissertation is to study exponential indifference pricing in a basis risk model of o...
AbstractIn this paper we study the problem of utility indifference pricing in a constrained financia...
I am very grateful to my supervisor Dr Sandjai Bhulai from the Vrije Universiteit for his encouragin...
In this dissertation, we study and examine utility-based hedging of the optimal portfolio choice pro...
We develop a model of optimal asset allocation based on a utility framework. This applies to a more ...
This paper considers a problem of asset pricing for case when the short-term interest rate process d...
We adress the maximization problem of expected utility from terminal wealth. The special feature of ...
Abstract: The study of asset price characteristics of stochastic growth models such as the risk-free...
The valuation process that economic agents undergo for investments with uncertain payoff typically d...
Many stocks are subject to some kinds of resale restrictions in the \u85nancial markets.In this pape...
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