The Worst Case for Real Options

被引：23

作者：

Trojanowska, M. ^{[1
]}

Kort, P. M. ^{[1
,2
,3
]}

机构：

[1] Univ Antwerp, Dept Econ, B-2020 Antwerp, Belgium

[2] Tilburg Univ, Dept Econometr & Operat Res, NL-5000 LE Tilburg, Netherlands

[3] Tilburg Univ, CentER, NL-5000 LE Tilburg, Netherlands

来源：

JOURNAL OF OPTIMIZATION THEORY AND APPLICATIONS | 2010年 / 146卷 / 03期

关键词：

Real options; Ambiguity aversion; Endogenous discount factor; Market price of risk; Ex post analysis; ROBUST-CONTROL; UNCERTAINTY; INVESTMENT; AMBIGUITY; TIME; RISK;

D O I：

10.1007/s10957-010-9687-0

中图分类号：

C93 [管理学]; O22 [运筹学];

学科分类号：

070105 ; 12 ; 1201 ; 1202 ; 120202 ;

摘要：

The problem of the timing of an investment decision under partial information is analyzed in a framework where the firm is ambiguity averse. The analysis yields the description of a robust decision rule for an investment in a finite life project in presence of a stochastic instantaneous return. It is demonstrated that ambiguity aversion may accelerate investment in the short run. Ex post validation of the determined investment policy treats the impact of ambiguity aversion on the proper way of discounting of the profit flow resulting from the project and the fair price of risk associated with ambiguity aversion.

引用

页码：709 / 734

页数：26

共 37 条

[1] A QUARTET OF SEMIGROUPS FOR MODEL SPECIFICATION, ROBUSTNESS, PRICES OF RISK, AND MODEL DETECTION [J].