The effect of mean reversion on investment under uncertainty

DOI10.1016/S0165-1889(02)00181-1zbMATH Open1179.91257OpenAlexW1978475840MaRDI QIDQ951469FDOQ951469

Authors: Sudipto Sarkar 

Publication date: 24 October 2008

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

Full work available at URL: https://doi.org/10.1016/s0165-1889(02)00181-1

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zbMATH Keywords

uncertaintyinvestmentmean reversionstochastic process

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

Cites Work

• Title not available (Why is that?)
• An Intertemporal Capital Asset Pricing Model
• Investment under alternative return assumptions
• Title not available (Why is that?)
• On the investment-uncertainty relationship in a real options model
• Cost uncertainty and the rate of investment

Cited In (24)

• Irreversible exit decisions under mean-reverting uncertainty
• Optimal switching strategy of a mean-reverting asset over multiple regimes
• Real option pricing under the regime-switching model with jumps on a finite time horizon
• The worst case for real options
• Good timing: the economics of optimal stopping
• An approach to the valuation and decision of ERP investment projects based on real options
• On two diffusion neuronal models with multiplicative noise: the mean first-passage time properties
• Finite project life and uncertainty effects on investment
• Uncertain dynamics, correlation effects, and robust investment decisions
• The effect of mean reversion on entry and exit decisions under uncertainty
• Earnings mean reversion and dynamic optimal capital structure
• Dynamic investment and capital structure under manager-shareholder conflict
• Optimal entry and exit decisions under uncertainty and the impact of mean reversion
• Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
• Optimal pair-trading strategy over long/short/square positions -- empirical study
• Optimal pair-trading strategy over long/short/square positions -- empirical study
• Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings: a viscosity solution approach
• The implications of tax loss carryforwards on investment policy
• Leveraged investments and agency conflicts when cash flows are mean reverting
• Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
• Investment timing, asymmetric information, and audit structure: a real options framework
• Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
• Average Rate of Return with Uncertainty
• On the neutrality of debt in investment intensity

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