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Lucie Tepla
Senior Affiliate Professor of Finance
Keywords
Incomplete Markets; Martingale Approach; Nontraded Assets; Optimal Portfolio Choice; Valuation; JEL Classification: G11
Journal Article
Tepla L. (2000). Optimal Hedging and Valuation of Non-traded Assets European Finance Review, 4(3), pp. 231-252.
This paper examines a number of valuation problems faced by an expected-utility-maximizing investor who, over a given time horizon, is constrained to hold an asset which cannot be replicated by dynamic trading and which therefore does not have a unique no-arbitrage price.