Vanduffel, Steven; Chernih, Andrew; Maj, Matheusz; … - In: Applied Mathematical Finance 16 (2009) 4, pp. 315-330
Cox and Leland used techniques from the field of stochastic control theory to show that, in the particular case of a Brownian motion for the asset log-returns, risk-averse decision makers with a fixed investment horizon prefer path-independent pay-offs over path-dependent pay-offs. In this note...