A model of investment under uncertainty with time to build, market incompleteness and risk aversion

DOI10.1016/J.EJOR.2020.12.052zbMath1487.91156OpenAlexW3045912446MaRDI QIDQ2030369

Laura Delaney

Publication date: 7 June 2021

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://openaccess.city.ac.uk/id/eprint/24613/1/Dept_Econ_WP2013.pdf

zbMATH Keywords

financerisk aversioninvestment under uncertaintymarket incompletenesstime to build

Mathematics Subject Classification ID

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

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Cites Work

• Optimum consumption and portfolio rules in a continuous-time model
• Evaluating pharmaceutical R\&D under technical and economic uncertainty
• Irreversible investment and discounting: an arbitrage pricing approach
• Valuing the option to invest in an incomplete market
• Corporate control and real investment in incomplete markets
• Uncertainty and stepwise investment
• A model of sequential investment
• A model for irreversible investment with construction and revenue uncertainty
• Stochastic calculus for finance. II: Continuous-time models.
• Horizon-unbiased utility functions
• A model of R\&D valuation and the design of research incentives

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