Corporate control and real investment in incomplete markets

DOI10.1016/j.jedc.2006.09.001zbMath1201.91218OpenAlexW1996317170MaRDI QIDQ1017066

Erwan Morellec, Julien Hugonnier

Publication date: 18 May 2009

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://infoscience.epfl.ch/record/141863/files/control.pdf

zbMATH Keywords

incomplete marketsreal optionsrisk aversion

Mathematics Subject Classification ID

Corporate finance (dividends, real options, etc.) (91G50) Portfolio theory (91G10)

Related Items (22)

Optimal exercise of jointly held real options: a Nash bargaining approach with value diversion ⋮ Dynamic investment and capital structure under manager-shareholder conflict ⋮ Time preference and real investment ⋮ Idiosyncratic risk, the private benefits of control and investment timing ⋮ Optimal stopping under model ambiguity: A time‐consistent equilibrium approach ⋮ IRREVERSIBLE INVESTMENTS AND AMBIGUITY AVERSION ⋮ Optimal investment under operational flexibility, risk aversion, and uncertainty ⋮ Optimal R\&D investment for a risk-averse entrepreneur ⋮ Excessive risk taking and the maturity structure of debt ⋮ Valuing the option to invest in an incomplete market ⋮ Irreversible investment and discounting: an arbitrage pricing approach ⋮ Optimal dividend policy and growth option ⋮ Horizon-unbiased utility functions ⋮ A stochastic model with interacting managerial operating options and debt rescheduling ⋮ Incomplete markets, ambiguity, and irreversible investment ⋮ Is corporate control effective when managers face investment timing decisions in incomplete markets? ⋮ A model of investment under uncertainty with time to build, market incompleteness and risk aversion ⋮ Real options maximizing survival probability under incomplete markets ⋮ Investment decisions under incomplete markets in the presence of wealth effects ⋮ Kalman filter approach to real options with active learning ⋮ Optimal acquisition of a partially hedgeable house ⋮ Duopolistic competition under risk aversion and uncertainty

Cites Work

• Valuing the option to invest in an incomplete market
• Irreversible investment with regime shifts
• Investment Timing Under Incomplete Information

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