This paper presents a unified treatment of the production and financial decisions available to a firm facing frictionless financial markets and a stochastic production technology under minimal assumptions on the firm's stochastic technology and objective function. The key concept is that of a 'derivative-cost function', which gives the minimal cost (maximal buying price) of constructing an asset by combining financial and real production activities
In this paper, we investigate an optimal asset allocation problem in a financial market consisting o...
This paper aims at assessing the optimal behavior of a firm facing stochastic costs of production. I...
This chapter is concerned with the classical applied problem of capital allocation by a corporation ...
This paper presents a unified treatment of the production and financial decisions available to a fir...
This paper presents a unified treatment of the production and financial decisions available to a fir...
This paper presents a unified treatment of the production and financial decisions available to a fir...
The broadness of no-arbitrage bounds on asset prices has led to a number of suggestions on how to na...
A cost-based approach to asset-pricing equilibrium relationships is developed. A cost function i...
This paper is a theoretical examination of the stochastic behavior of equilibrium asset prices in an...
Most of the operations management literature assumes that a firm can always finance production decis...
In the text of this thesis we deal with the task of valuing financial derivatives. The theory is bas...
Asset Management is about realizing value from physical assets, but formal methods how to do this ar...
This paper derives a unified framework for portfolio optimization, derivative pricing, financial mod...
This paper analyzes linear production situations with price uncertainty, and shows that the corrresp...
This paper establishes links between approaches to portfolio optimization and derivative pricing as ...
In this paper, we investigate an optimal asset allocation problem in a financial market consisting o...
This paper aims at assessing the optimal behavior of a firm facing stochastic costs of production. I...
This chapter is concerned with the classical applied problem of capital allocation by a corporation ...
This paper presents a unified treatment of the production and financial decisions available to a fir...
This paper presents a unified treatment of the production and financial decisions available to a fir...
This paper presents a unified treatment of the production and financial decisions available to a fir...
The broadness of no-arbitrage bounds on asset prices has led to a number of suggestions on how to na...
A cost-based approach to asset-pricing equilibrium relationships is developed. A cost function i...
This paper is a theoretical examination of the stochastic behavior of equilibrium asset prices in an...
Most of the operations management literature assumes that a firm can always finance production decis...
In the text of this thesis we deal with the task of valuing financial derivatives. The theory is bas...
Asset Management is about realizing value from physical assets, but formal methods how to do this ar...
This paper derives a unified framework for portfolio optimization, derivative pricing, financial mod...
This paper analyzes linear production situations with price uncertainty, and shows that the corrresp...
This paper establishes links between approaches to portfolio optimization and derivative pricing as ...
In this paper, we investigate an optimal asset allocation problem in a financial market consisting o...
This paper aims at assessing the optimal behavior of a firm facing stochastic costs of production. I...
This chapter is concerned with the classical applied problem of capital allocation by a corporation ...
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