Competitive investment with varying risk premia
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More about this item
Keywords
valuation; competition; Markov-modulated Brownian motion; regulated processes;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
- G30 - Financial Economics - - Corporate Finance and Governance - - - General
NEP fields
This paper has been announced in the following NEP Reports:- NEP-ORE-2020-01-06 (Operations Research)
- NEP-UPT-2020-01-06 (Utility Models and Prospect Theory)
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