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Keywords: Mean‐variance efficiency
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Journal Articles
Using Black‐Scholes to determine an optimal funding term
Available to Purchase
Journal:
Managerial Finance
Managerial Finance (2011) 37 (11): 985–994.
Published: 27 September 2011
... to establish a mean‐variance efficient strategy for lump sum conversion to an income stream over any fixed term; two criteria involving the BS model are then applied to determine optimal investment term in a perpetual chain of reinvestment. The first criterion selects the term to maximize the value of a call...
