Investment timing with incomplete information and multiple means of learning

DOI10.1287/OPRE.2015.1344zbMATH Open1372.91041OpenAlexW2118487768MaRDI QIDQ3453345FDOQ3453345

Authors: J. Michael Harrison, Nur Sunar 

Publication date: 20 November 2015

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.2015.1344

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zbMATH Keywords

optimal controloptimal stoppingcostly learningsubset selectionBayesian sequential hypothesis testing

Mathematics Subject Classification ID

Stopping times; optimal stopping problems; gambling theory (60G40) Microeconomic theory (price theory and economic markets) (91B24) Optimal stochastic control (93E20)

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• Comment on “Investment Timing Under Incomplete Information”
• Investment Timing Under Incomplete Information
• A problem of singular stochastic control with discretionary stopping
• The Optimal Level of Experimentation
• Acquisition of project-specific assets with Bayesian updating
• Investment Timing Under Incomplete Information: Erratum

Cited In (20)

• Competitive investment with Bayesian learning: choice of business size and timing
• On the capacity of information processing systems
• Real options in operations research: a review
• New venture creation: a drift-variance diffusion control model
• Investment Timing Under Incomplete Information: Erratum
• Investment Timing Under Incomplete Information
• Is corporate control effective when managers face investment timing decisions in incomplete markets?
• Optimal long-term contracts with disability insurance under limited commitment
• Dynamic learning and decision making via basis weight vectors
• Costly sequential experimentation and project valuation with an application to health technology assessment
• How do information ambiguity and timing of contextual information affect managers' goal congruence in making investment decisions in good times vs. bad times?
• Valuing pilot projects in a learning by investing framework: an approximate dynamic programming approach
• A detection problem with a monotone observation rate
• Acquisition of project-specific assets with Bayesian updating
• Making inflexible investment decisions with incomplete information
• Learning Manipulation Through Information Dissemination
• Comment on “Investment Timing Under Incomplete Information”
• Strategic technology licensing in a supply chain
• Dynamic project selection
• Kalman filter approach to real options with active learning

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