haku: @indexterm MARTINGALES / yhteensä: 5
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| Tekijä: | Teplá, L. |
| Otsikko: | Optimal hedging and valuation of nontraded assets |
| Lehti: | European Finance Review
2000 : VOL. 4:3, p. 231-251 |
| Asiasana: | ASSETS HEDGING INCOMPLETE MARKETS MARTINGALES PORTFOLIO MANAGEMENT VALUATION |
| Kieli: | eng |
| Tiivistelmä: | This paper examines a number of valuation problems faced by an expected-utility-maximizing investor who, over a given time horizon, is constrained to hold an asset which cannot be replicated by dynamic trading and which therefore does not have a unique no-arbitage price. |
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