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An optimal consumption model with stochastic volatility 总被引:3,自引:0,他引:3
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Robert Fernholz 《Finance and Stochastics》2001,5(4):469-486
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A solution approach to valuation with unhedgeable risks 总被引:6,自引:0,他引:6
Thaleia Zariphopoulou 《Finance and Stochastics》2001,5(1):61-82
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Worst case model risk management 总被引:3,自引:0,他引:3
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SUMIT AGARWAL JOHN C. DRISCOLL DAVID I. LAIBSON 《Journal of Money, Credit and Banking》2013,45(4):591-622
We derive the first closed‐form optimal refinancing rule: refinance when the current mortgage interest rate falls below the original rate by at least In this formula W(.) is (the principal branch of) the Lambert W‐function, where ρ is the real discount rate, λ is the expected real rate of exogenous mortgage repayment, σ is the standard deviation of the mortgage rate, is the ratio of the tax‐adjusted refinancing cost and the remaining mortgage value, and τ is the marginal tax rate. This expression is derived by solving a tractable class of refinancing problems. Our quantitative results closely match those reported by researchers using numerical methods. 相似文献
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Incompleteness of markets driven by a mixed diffusion 总被引:2,自引:0,他引:2
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We consider an infinite time horizon optimal investment problem where an investor tries to maximize the probability of beating a given index. From a mathematical viewpoint, this is a large deviation probability control problem. As shown by Pham (in Syst. Control Lett. 49: 295–309, 2003; Financ. Stoch. 7: 169–195, 2003), its dual problem can be regarded as an ergodic risk-sensitive stochastic control problem. We discuss the partial information counterpart of Pham (in Syst. Control Lett. 49: 295–309, 2003; Financ. Stoch. 7: 169–195, 2003). The optimal strategy and the value function for the dual problem are constructed by using the solution of an algebraic Riccati equation. This equation is the limit equation of a time inhomogeneous Riccati equation derived from a finite time horizon problem with partial information. As a result, we obtain explicit representations of the value function and the optimal strategy for the problem. Furthermore we compare the optimal strategies and the value functions in both full and partial information cases.
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Electronic Supplementary Material Supplementary material is available for this article at 相似文献