The effect of mean reversion on investment under uncertainty
From MaRDI portal
Publication:951469
Recommendations
- The effect of mean reversion on entry and exit decisions under uncertainty
- Investment under alternative return assumptions
- Nonlinearities and Inactivity in Aggregate Investment: Some Theoretical Analysis and Time-Series Evidence
- Irreversible exit decisions under mean-reverting uncertainty
- Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
Cites work
- An Intertemporal Capital Asset Pricing Model
- Cost uncertainty and the rate of investment
- scientific article; zbMATH DE number 3814037 (Why is no real title available?)
- scientific article; zbMATH DE number 4078444 (Why is no real title available?)
- Investment under alternative return assumptions
- On the investment-uncertainty relationship in a real options model
Cited in
(24)- Utility based pricing and exercising of real options under geometric mean reversion and risk aversion toward idiosyncratic risk
- Uncertain dynamics, correlation effects, and robust investment decisions
- Leveraged investments and agency conflicts when cash flows are mean reverting
- Qualitative properties of different numerical methods for the inhomogeneous geometric Brownian motion
- Optimal entry and exit decisions under uncertainty and the impact of mean reversion
- The implications of tax loss carryforwards on investment policy
- Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
- Investment timing, asymmetric information, and audit structure: a real options framework
- An approach to the valuation and decision of ERP investment projects based on real options
- Optimal switching strategy of a mean-reverting asset over multiple regimes
- Average Rate of Return with Uncertainty
- Irreversible exit decisions under mean-reverting uncertainty
- Good timing: the economics of optimal stopping
- Optimal pair-trading strategy over long/short/square positions -- empirical study
- On two diffusion neuronal models with multiplicative noise: the mean first-passage time properties
- 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 worst case for real options
- Real option pricing under the regime-switching model with jumps on a finite time horizon
- Earnings mean reversion and dynamic optimal capital structure
- On the neutrality of debt in investment intensity
- Finite project life and uncertainty effects on investment
- Dynamic investment and capital structure under manager-shareholder conflict
- The effect of mean reversion on entry and exit decisions under uncertainty
This page was built for publication: The effect of mean reversion on investment under uncertainty
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q951469)
