Irreversible exit decisions under mean-reverting uncertainty

DOI10.1007/s00712-013-0343-7zbMath1294.91185OpenAlexW1986648039MaRDI QIDQ403751

Andrianos E. Tsekrekos

Publication date: 29 August 2014

Published in: Journal of Economics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00712-013-0343-7

zbMATH Keywords

uncertaintyreal optionsinvestmentmean reversion

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Microeconomic theory (price theory and economic markets) (91B24) Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (2)

Leveraged investments and agency conflicts when cash flows are mean reverting ⋮ Editorial: The economics of irreversible choices

Cites Work

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• Optimal capital accumulation under price uncertainty and costly reversibility
• Investment under alternative return assumptions
• The effect of mean reversion on investment under uncertainty
• The effect of mean reversion on entry and exit decisions under uncertainty
• Firing Costs and Labour Demand: How Bad is Eurosclerosis?
• Investment and the Valuation of Firms When There is an Option to Shut Down
• An Intertemporal Capital Asset Pricing Model
• Optimal Investment with Costly Reversibility

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