Incomplete markets, ambiguity, and irreversible investment

DOI10.1016/J.JEDC.2010.12.001MaRDI QIDQ543804zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

ambiguityirreversible investmentidiosyncratic risk

Mathematics Subject Classification ID

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

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

Cites work

• scientific article; zbMATH DE number 5016447 (Why is no real title available?)
• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• Ambiguity, Risk, and Asset Returns in Continuous Time
• Corporate control and real investment in incomplete markets
• Finite project life and uncertainty effects on investment
• Irreversible investment and Knightian uncertainty
• Irreversible investment and discounting: an arbitrage pricing approach
• Knightian decision theory. I.
• Maxmin expected utility with non-unique prior
• On the investment-uncertainty relationship in a real options model
• Risk, ambiguity and the Savage axioms
• Statistical decision theory and Bayesian analysis. 2nd ed
• The impact of delivery lags on irreversible investment under uncertainty
• The worst case for real options
• Valuing the option to invest in an incomplete market

Cited in

(12)

• New insights in capacity investment under uncertainty
• scientific article; zbMATH DE number 1488105 (Why is no real title available?)
• 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

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