particular it met a great amount of sympathy in the alternative investment industry. In the purely continuous case the resulting … experiment conducted for the German stock market. Our approach generalizes to other utility functions satisfying some mild …

In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in … investment plan, and derive necessary and sufficient conditions for optimality. This allows us to construct the optimal policy in … - where risk is driven by a geometric Brownian motion and Knightian uncertainty is realized through a so-called "k …

dependence between her risk aversion and the distribution of the optimal terminal payoff . Economic intuition suggests that high … risk aversion leads to a rather concentrated distribution, whereas lower risk aversion results in a higher average payoff … risk aversion leads to a payoff which is larger in terms of second order stochastic dominance. In the present study, we …

spanning property. Second, we construct a non-parametric test for spanning via the use of an empirical analogy. The method … determines whether introducing new securities or relaxing investment constraints improves the investment opportunity set of …