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Volumn 12, Issue 4, 1999, Pages 835-872

Nontraded asset valuation with portfolio constraints: A binomial approach

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Indexed keywords


EID: 0033411390     PISSN: 08939454     EISSN: None     Source Type: Journal    
DOI: 10.1093/rfs/12.4.835     Document Type: Article
Times cited : (90)

References (15)
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    • Optimal consumption and portfolio policies when asset prices follow a diffusion process
    • Cox, J. C., and C. Huang, 1989, "Optimal Consumption and Portfolio Policies when Asset Prices Follow a Diffusion Process," Journal of Economic Theory, 49, 33-83.
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    • Cox, J.C.1    Huang, C.2
  • 7
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    • Convex duality in constrained portfolio optimization
    • Cvitanic, J., and I. Karatzas, 1992, "Convex Duality in Constrained Portfolio Optimization," Annals of Applied Probability, 2, 767-818.
    • (1992) Annals of Applied Probability , vol.2 , pp. 767-818
    • Cvitanic, J.1    Karatzas, I.2
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    • Convergence from discrete- to continuous-time contingent claims prices
    • He, H., 1990, "Convergence from Discrete- to Continuous-Time Contingent Claims Prices," Review of Financial Studies, 3, 523-546.
    • (1990) Review of Financial Studies , vol.3 , pp. 523-546
    • He, H.1
  • 10
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    • A comment on 'valuation of executive stock options and the FASB proposal'
    • Jennergren, L. P., and B. Naslund, 1993, "A Comment on 'Valuation of Executive Stock Options and the FASB Proposal'," Accounting Review, 68, 178-183.
    • (1993) Accounting Review , vol.68 , pp. 178-183
    • Jennergren, L.P.1    Naslund, B.2
  • 11
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    • Valuing employee stock options
    • Kulatilaka, N., and A. Marcus, 1994, "Valuing Employee Stock Options," Financial Analysts Journal, November-December, 46-56.
    • (1994) Financial Analysts Journal , vol.NOVEMBER-DECEMBER , pp. 46-56
    • Kulatilaka, N.1    Marcus, A.2
  • 12
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    • Lifetime portfolio selection under uncertainty: The continuous time case
    • Merton, R. C., 1969, "Lifetime Portfolio Selection under Uncertainty: The Continuous Time Case," Review of Economics and Statistics, 51, 247-257.
    • (1969) Review of Economics and Statistics , vol.51 , pp. 247-257
    • Merton, R.C.1
  • 13
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    • Optimum consumption and portfolio rules in a continuous time model
    • Merton, R. C., 1971, "Optimum Consumption and Portfolio Rules in a Continuous Time Model," Journal of Economic Theory, 51, 373-413.
    • (1971) Journal of Economic Theory , vol.51 , pp. 373-413
    • Merton, R.C.1
  • 15
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    • Risk aversion in the small and the large
    • Pratt, J., 1964, "Risk Aversion in the Small and the Large," Econometrica, 32, 122-136.
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    • Pratt, J.1


* 이 정보는 Elsevier사의 SCOPUS DB에서 KISTI가 분석하여 추출한 것입니다.