A solution approach to valuation with unhedgeable risks

By Thaleia Zariphopoulou. Finance and Stochastics, 2001

353 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/fedc7af03d9110726efba70ecb0987d2fa77955c

How researchers see this paper

The researchers whose trusted networks rank it highest, strongest advocate first. Every researcher gets a different order.

In Economics and Econometrics

In Finance

Citations in the corpus

On some recent aspects of stochastic control and their applications (2005, background): “This last point is developed in [91] and [77].”
Optimal time-consistent investment and reinsurance strategies for insurers under Heston’s SV model (2012, methodology): “…models and derived the closed-form expression of the optimal strategies and the optimal value functions in some situations using the HJB approach; Zariphopoulou (2001), Pham (2002), Kraft (2005) and Taksar and Zeng (2009) studied the optimal investment problems 0167-6687/$ – see front matter©…”
A stochastic volatility model and optimal portfolio selection (2013, neutral): “The same representation is found in Zariphopoulou (2001) where the global Lipschitz, linear growth conditions on diffusion coefficients and a bounded market price of risk are assumed.”
Optimal hedging and parameter uncertainty (2007, methodology): “The solution to the optimization problem (4) is well-known, using the so-called distortion technique (Zariphopoulou, 2001).”
RECOVERING PORTFOLIO DEFAULT INTENSITIES IMPLIED BY CDO QUOTES (2013, neutral): “The fact that a logarithmic change of variable linearizes the Hamilton Jacobi equation is not a coincidence: this is a common feature of stochastic control problems related to exponential utility maximization [31].”
Optimal Stochastic Control, Stochastic Target Problems, and Backward SDE (2012, methodology): “This is a non-Markovian version of the PDE based work of Zariphopoulou [42].”
Explicit solutions of some utility maximization problems in incomplete markets (2004, methodology): “The author would like to thank Rene Carmona, Thaleia Zariphopoulou, Damir Filipovic, and especially David Hobson for valuable comments and suggestions.”
Utility indifference pricing : an overview (2009, methodology): “The idea was also used in papers of Davis and Norman [14], Davis et al [15], Davis and Zariphopoulou [16] and Constantinides and Zariphopoulou [8], again in the context of transactions costs.”
Portfolios and risk premia for the long run. (2012, neutral): “Set δ = 1 1− qρ′ρ.(31) The change of variable φ = exp(v/δ), essentially equivalent to the power transformation of Zariphopoulou (2001), reduces the quasi-linear ODE in (22) to the linear ODE A 2 φ̈+ (b− qΥ′Σ−1µ)φ̇+ 1 δ (V − λ)φ= 0.”
Stochastic Partial Differential Equations and Portfolio Choice (2010, methodology): “The smoothness of the value function and, in turn, the verication of the optimal feedback policies follows (see, among others, [24], [25], [26], [31] and [44]).”
PORTFOLIO OPTIMIZATION AND STOCHASTIC VOLATILITY ASYMPTOTICS (2017, neutral): “As derived in Zariphopoulou (2001), the value function at wealth level x under power utility (equation (6.1) with c = 1) is given by V(t, x, ξ ) = x 1−γ 1 − γ (t, ξ ) q ,(6.9) where the distortion coefficient q is given by q = γ γ + (1 − γ )ρ2 ,(6.10) and solves the linear PDE problem t + ( Lξ + (1…”
TRADING WITH SMALL PRICE IMPACT (2014, neutral): “Then, Y and in turn S are well defined and it follows similarly as in [57] that the frictionless value function v0 is a classical solution of the frictionless DPE, which can be transformed into a linear, uniformly parabolic equation in this case.”
Optimal portfolios and Heston's stochastic volatility model: an explicit solution for power utility (2005, methodology): “Then the function f has the Feynman-Kac representation f(t, z) = Ẽ t,z ( e − ∫ T t r̃(s) ds ) (10) with dz(t) = χ̃(t)dt + δ(t)dW̃1(t), 4To prove her verification result, Zariphopoulou (2001) additionally assumes that condition (7) is also satisfied by the coefficients of (1).”
Performance of utility-based strategies for hedging basis risk (2004, methodology): “This technique is called distortion by Zariphopoulou [22] and is also employed in [8, 9].”
Portfolio optimization with unobservable Markov-modulated drift process (2005, methodology): “The power change of variable for the value function has already been used by Zariphopoulou (2001) and Pham (2002).”
Real options with constant relative risk aversion (2002, background): “Zariphopoulou (2001) uses separable utility to model prices with additional stochastic factors.”