The effect of mean reversion on entry and exit decisions under uncertainty

DOI10.1016/J.JEDC.2009.10.015MaRDI QIDQ964582zbMATH OpenOpenAlexFDO

Authors Andrianos E. Tsekrekos

Publication date 22 April 2010

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.2009.10.015

zbMATH Keywords

uncertaintyinvestmentreal optionsmean reversion

Mathematics Subject Classification ID

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

Recommendations

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• Firing Costs and Labour Demand: How Bad is Eurosclerosis?
• Investment Under Uncertainty
• Investment and the Valuation of Firms When There is an Option to Shut Down
• Investment under alternative return assumptions
• Irreversible investment and industry equilibrium
• On the investment-uncertainty relationship in a real options model
• Optimal Investment with Costly Reversibility
• Optimal Switching in an Economic Activity under Uncertainty
• Super contact and related optimality conditions
• The effect of mean reversion on investment under uncertainty

Cited in

(18)

• Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations
• Earnings mean reversion and dynamic optimal capital structure
• Leveraged investments and agency conflicts when cash flows are mean reverting
• Infinite-horizon optimal switching regions for a pair-trading strategy with quadratic risk aversion considering simultaneous multiple switchings: a viscosity solution approach
• Good timing: the economics of optimal stopping
• Capacity optimization under uncertainty: the impact of operational time lags
• Irreversible exit decisions under mean-reverting uncertainty
• Entry and exit decisions with linear costs under uncertainty
• Hysteresis effects under CIR interest rates
• Average crossing time: an alternative characterization of mean aversion and reversion
• Optimal entry and exit decisions under uncertainty and the impact of mean reversion
• Entry-exit decisions with implementation delay under uncertainty.
• Optimal switching strategy of a mean-reverting asset over multiple regimes
• Entry-exit decisions with underlying processes following geometric Lévy processes
• The effect of mean reversion on investment under uncertainty
• The misconception of mean-reversion
• Optimal pair-trading strategy over long/short/square positions -- empirical study
• Optimal pair-trading strategy over long/short/square positions -- empirical study

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