Investment under alternative return assumptions
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Recommendations
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Cites work
Cited in
(34)- How to maximize domestic benefits from foreign investments: the effect of irreversibility and uncertainty
- Lumpy investment and expected stock returns
- Irreversible exit decisions under mean-reverting uncertainty
- Optimal switching strategy of a mean-reverting asset over multiple regimes
- Approximation of Optimal Stopping Problems and Variational Inequalities Involving Multiple Scales in Economics and Finance
- On the non-equilibrium density of geometric mean reversion
- A decision-making tool for project investments based on real options: the case of wind power generation
- Irreversible investment with Cox-Ingersoll-Ross type mean reversion
- Dividend derivatives
- Dividend derivatives
- Finite project life and uncertainty effects on investment
- The effect of mean reversion on investment under uncertainty
- The effect of mean reversion on entry and exit decisions under uncertainty
- Earnings mean reversion and dynamic optimal capital structure
- Optimal entry and exit decisions under uncertainty and the impact of mean reversion
- Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
- Divergence between sample path and moments behavior: an issue in the application of geometric brownian motion to finance
- Minimum return guarantees, investment caps, and investment flexibility
- Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings: a viscosity solution approach
- The implications of tax loss carryforwards on investment policy
- Investment under uncertainty with price ceilings in oligopolies
- Leveraged investments and agency conflicts when cash flows are mean reverting
- Optimal procurement strategies for online spot markets.
- Investments as signals of outside options
- On the investment-uncertainty relationship in a real options model
- Optimal multiple trading times under the exponential OU model with transaction costs
- The interaction of debt financing, cash grants and the optimal investment policy under uncertainty
- Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: a multi-stage stochastic integer programming approach
- Modelling fundamental analysis in portfolio selection
- Analytical approximation method of option pricing under geometric mean-reverting process
- Pricing renewable identification numbers under uncertainty
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