All Outputs (3)

Dynamic portfolio optimization with transaction costs and state-dependent drift (2014)
Journal Article

© 2015 Elsevier B.V. All rights reserved. The problem of dynamic portfolio choice with transaction costs is often addressed by constructing a Markov Chain approximation of the continuous time price processes. Using this approximation, we present an e... Read More about Dynamic portfolio optimization with transaction costs and state-dependent drift.

Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk (2014)
Journal Article

© 2014 Elsevier B.V.All rights reserved. We consider a risk-averse entrepreneur who invests in a project with idiosyncratic risk. In contrast to the literature, we assume the entrepreneur is unable to get a loan from a bank directly because of the lo... Read More about Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk.

Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk (2014)
Journal Article

The paper considers the option of an investor to invest in a project that generates perpetual cash flows, of which the drift parameter is unobservable. The investor invests in a liquid financial market to partially hedge cash flow risk and estimation... Read More about Learning, pricing, timing and hedging of the option to invest for perpetual cash flows with idiosyncratic risk.