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...

Cox amp; Leland (2000) 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 ones. In this...