Portfolio optimization in the case of an exponential utility function and in the presence of an illiquid asset
We study an optimization problem for a portfolio with a risk-free, a liquid, and an illiquid risky asset. The illiquid risky asset is sold in an exogenous random moment with a prescribed liquidation time distribution. We assume that the investor chooses an exponential utility function. Study of optimization problems with three assets ...
Industrial enterprises of the Kaliningrad region: R&D models under the conditions of perceived risks
... the Firm under Uncertainty: Financing, Attitude to Risk and Output Behavior // Working Papers IES. 2005. No 71. URL:
http://dx.doi.org/10.2139/ssrn.981326
(дата обращения: 15.07.2013).
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