The Evaluation of Risky Investments with Random Timing of Cash Returns

DOI10.1287/MNSC.21.1.79MaRDI QIDQ4062148zbMATH OpenOpenAlexFDO

Authors Stylianos Perrakis, Claude G. Henin

Publication date 1974

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.21.1.79

Mathematics Subject Classification ID

Applications of queueing theory (congestion, allocation, storage, traffic, etc.) (60K30) Numerical mathematical programming methods (65K05) Inventory, storage, reservoirs (90B05) Decision theory (91B06)

Cited in

(4)

• On the simulation of shot noise and some other random variables
• Random linear recursions with dependent coefficients
• Multivariate linear recursions with Markov-dependent coefficients
• Intertemporal choice under timing risk: an experimental approach

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