𝔖 Bobbio Scriptorium
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Implications of constant risk aversion

✍ Scribed by G. Bamberg; K. Spremann


Book ID
105399722
Publisher
Springer
Year
1981
Tongue
English
Weight
952 KB
Volume
25
Category
Article
ISSN
0340-9422

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Real options problems have recently attracted much attention worldwide. One such problem is how to deal with claims on 'non-traded' assets. Often there is another traded asset which is correlated to the non-traded asset, and this traded asset is used as a proxy for hedging purposes. We introduce a