Incomplete markets, ambiguity, and irreversible investment

DOI10.1016/J.JEDC.2010.12.001zbMATH Open1231.91471OpenAlexW2081596001MaRDI QIDQ543804FDOQ543804

Authors: Jacco J. J. Thijssen 

Publication date: 17 June 2011

Published in: Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.12.001

Recommendations

• Irreversible investments and ambiguity aversion
• A Knightian irreversible investment problem
• Valuing the option to invest in an incomplete market
• Irreversible investment and Knightian uncertainty
• Risk, uncertainty, and option exercise

zbMATH Keywords

ambiguityirreversible investmentidiosyncratic risk

Mathematics Subject Classification ID

Utility theory (91B16) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Statistical decision theory and Bayesian analysis. 2nd ed
• Maxmin expected utility with non-unique prior
• Risk, ambiguity and the Savage axioms
• Title not available (Why is that?)
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Knightian decision theory. I.
• Title not available (Why is that?)
• Corporate control and real investment in incomplete markets
• On the investment-uncertainty relationship in a real options model
• Irreversible investment and Knightian uncertainty
• The impact of delivery lags on irreversible investment under uncertainty
• Valuing the option to invest in an incomplete market
• Irreversible investment and discounting: an arbitrage pricing approach
• The worst case for real options
• Finite project life and uncertainty effects on investment

Cited In (12)

• New insights in capacity investment under uncertainty
• Title not available (Why is that?)
• Decision-making in incomplete markets with ambiguity -- a case study of a gas field acquisition
• Valuing the option to invest in an incomplete market
• Incomplete markets, Knightian uncertainty and high-water marks
• A Knightian irreversible investment problem
• Irreversible investments and ambiguity aversion
• The impact of operational delay on irreversible investment under Knightian uncertainty
• Irreversible investment with uncertainty and scale economies
• The Medium of Contingency
• Investment and financing in incomplete markets
• Investment decisions under incomplete markets in the presence of wealth effects

This page was built for publication: Incomplete markets, ambiguity, and irreversible investment

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q543804)