Investment timing in presence of downside risk: a certainty equivalent characterization

Luis H. R. Alvarez and Teppo Rakkolainen ()

Annals of Finance, 2010, vol. 6, issue 3, pages 317-333

Keywords: Downside risk; Certainty equivalence; Exponential Lévy process; Optimal stopping; Risk adjustment; Threshold policy; C61; G31 (search for similar items in EconPapers)
Date: 2010
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