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)
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Persistent link: http://EconPapers.repec.org/RePEc:kap:annfin:v:6:y:2010:i:3:p:317-333
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