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Co-monotonicity of optimal investments and the design of structured financial products

✍ Scribed by Marc Oliver Rieger

Publisher
Springer-Verlag
Year
2010
Tongue
English
Weight
609 KB
Volume
15
Category
Article
ISSN
0949-2984

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We consider an economy where firms operate in an imperfectly competitive industry and mutually affect each others' investment opportunities. Each firm is assumed to face a mutually exclusive choice of investing in either a short-or a long-term project. For example, firm i's commitment to a short-ter