Investment, Consumption, and Hedging Under Incomplete Markets

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Dynamic Investment, Capital Structure, and Debt Overhang (2015, result): “…with , consistent with the standard real-option result, despite an intuitive but involved argument.21 The dashed line in Panel B of Figure 3 20 Miao and Wang (2007) show the opposing effects of volatility on real options in an incomplete-markets setting where the entrepreneur cannot fully…”
Risk, Uncertainty, and Option Exercise (2011, background): “4 Miao and Wang (2007) analyze the effects of risk and risk aversion on investment timing in a continuous time model of irreversible investment under incomplete markets.”
Entrepreneurial Finance and Nondiversifiable Risk (2009, unknown): “Miao and Wang (2007) use this utility specification to analyze a real option exercising problem when the decision maker faces uninsurable idiosyncratic risk from his investment opportunity.”
Valuing the option to invest in an incomplete market (2007, background): “In the case where investment results in a one-off payoff, Miao and Wang (2006) show via asymptotic expansions (complementing their numerical results) that incompleteness results in earlier investment.”