Showing 151 - 160 of 247
Persistent link: https://www.econbiz.de/10011760482
Persistent link: https://www.econbiz.de/10011566798
Persistent link: https://www.econbiz.de/10010391223
Persistent link: https://www.econbiz.de/10009628203
We propose a structural model for the valuation of defaultable securities of a firm which models the effect of deliberate misreporting done by insiders in the firm and unobserved by others. We derive exact formulas for equity and bond prices and approximate expressions for the conditional...
Persistent link: https://www.econbiz.de/10013150070
Persistent link: https://www.econbiz.de/10011941619
Persistent link: https://www.econbiz.de/10011945612
This paper examines the optimal consumption and investment problem for a quot;largequot; investor, whose portfolio choices affect the instantaneous expected returns on the traded assets. Alternatively, our analysis can be interpreted in terms of an optimal growth problem with nonlinear...
Persistent link: https://www.econbiz.de/10012757452
Persistent link: https://www.econbiz.de/10012309132
We study the problem of determining the minimum cost of super-replicating a non-negative contingent claim when there are convex constraints on the portfolio weights. It is shown that the optimal cost with constraints is equal to the price of a related claim without constraints. The related claim...
Persistent link: https://www.econbiz.de/10012715196