Investment, Consumption, and Hedging under Incomplete Markets
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- Miao, Jianjun & Wang, Neng, 2007. "Investment, consumption, and hedging under incomplete markets," Journal of Financial Economics, Elsevier, vol. 86(3), pages 608-642, December.
- Jianjun Miao & Neng Wang, 2006. "Investment, consumption and hedging under incomplete markets," 2006 Meeting Papers 289, Society for Economic Dynamics.
- Junjian Miao & Neng Wang, 2005. "Investment, Consumption and Hedging under Incomplete Markets," Boston University - Department of Economics - Macroeconomics Working Papers Series WP2005-011, Boston University - Department of Economics, revised Sep 2006.
- Jianjun Miao & Neng Wang, 2007. "Investment, Consumption, and Hedging under Incomplete Markets," NBER Working Papers 13250, National Bureau of Economic Research, Inc.
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More about this item
Keywords
real options; idiosyncratic risk; hedging; risk aversion; precautionary savings; incomplete markets;All these keywords.
JEL classification:
- G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
- G31 - Financial Economics - - Corporate Finance and Governance - - - Capital Budgeting; Fixed Investment and Inventory Studies
- E2 - Macroeconomics and Monetary Economics - - Consumption, Saving, Production, Employment, and Investment
NEP fields
This paper has been announced in the following NEP Reports:- NEP-BEC-2011-08-15 (Business Economics)
- NEP-CTA-2011-08-15 (Contract Theory and Applications)
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