Optimal R\&D investment for a risk-averse entrepreneur

DOI10.1016/J.JEDC.2009.11.009MaRDI QIDQ631241zbMATH OpenOpenAlexFDO

Authors A. Elizabeth Whalley

Publication date 22 March 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.2009.11.009

zbMATH Keywords

R\&Dutility maximisationcost of unhedgeable riskentrepreneurial investmenttechnical uncertainty

Mathematics Subject Classification ID

Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Production theory, theory of the firm (91B38) Corporate finance (dividends, real options, etc.) (91G50)

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Cites work

• A patent race in a real options setting: investment strategy, valuation, CAPM beta, and return volatility
• Corporate control and real investment in incomplete markets
• Devaluating projects and the investment-uncertainty relationship
• Finite project life and uncertainty effects on investment
• Horizon-unbiased utility functions
• On the investment-uncertainty relationship in a real options model
• Optimal R\&D investments of the firm
• The effect of uncertainty on investment timing in a real options model
• Uncertainty and stepwise investment
• Utility based option evaluation with proportional transaction costs
• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
• Valuing oil properties: Integrating option pricing and decision analysis approaches
• Valuing the option to invest in an incomplete market

Cited in

(10)

• scientific article; zbMATH DE number 2203936 (Why is no real title available?)
• Exact Superreplication Strategies for a Class of Derivative Assets
• Optimal R\&D investment problem with regime-switching
• Optimal product release time for a new high-tech startup firm under technical uncertainty
• How risky should an R\& D program be?
• A comparison between the robust risk-aware and risk-seeking managers in R\&D portfolio management
• Optimal consumption and R\&D investment for a risk-averse entrepreneur
• THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS
• Should R\&D risk always be preferable?
• Robust optimal R\&D investment under technical uncertainty in a regime-switching environment

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