This paper extends the Goetzmann et al. (J Financ 58:1685–1717, <CitationRef CitationID="CR6">2003</CitationRef>) model to the case of partial information, where the expected return of a hedge fund is not observable but known to be either high or low. The fund manager can dynamically update his belief about the true value of the...</citationref>

This paper finds that a newly created equity-for-guarantee swap can significantly increase a firm’s value. If the firm earns more/less in a recession/boom market, the guarantee cost will decrease. The greater the business risk is, the more the guarantee cost will decrease and the higher the...

This paper studies the pricing, timing and hedging of an American call option written on a non-tradable asset whose mean appreciation rate is not observable but is known to be a Gaussian random variable. Our goal is to analyze the effects of the partial information on investment in the American...