Reaching Goals by a Deadline: Digital Options and Continuous-Time Active Portfolio Management

S. Browne

Working Papers from Columbia - Graduate School of Business

Abstract: We study a variety of optimal investment problems for objectives related to aataining goals by a fixed terminal time.

Keywords: FINANCIAL MARKET; PRICING; PORTFOLIO; INVESTMENTS (search for similar items in EconPapers)
JEL-codes: G11 G12 (search for similar items in EconPapers)
Pages: 34 pages
Date: 1996
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Citations: View citations in EconPapers (2)

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Persistent link: https://EconPapers.repec.org/RePEc:fth:colubu:96-16

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