Robust Irreversible Investment

DFG-Projekt Ri 1128-3-1

 

Abstract     Publications/Talks     Participants    News/Jobs     Institutions/Literature

 

Institutions


Deutsche Forschungsgemeinschaft (German Research Foundation)

Department of Economics, Rheinische Friedrich-Wilhelm Universität Bonn

Department of Mathematics, Columbia University

Department of Mathematics, Rheinische Friedrich-Wilhelm Universität Bonn

Literature


BANK, P. and F. RIEDEL (2001):"Optimal Consumption Choice under Uncertainty with Intertemporal Substitution", Annals of Applied Probability, 11, 750-788.

BERTOLA, G. (1988): "Irreversible Investment", Research in Economics, 52, 3-37.

EPSTEIN, L., and M. SCHNEIDER (2003): "Recursive Multiple Priors", Journal of Economic Theory, 113, 1-31.

HENDERSON, V. and D. G. HOBSON (2002): "Real Options with Constant Relative Risk Aversion", Journal of Economic Dynamics and Control, 27, 329-355.

GUO, X., J. MIAO and E. MORELLEC (2005): "Irreversible Investment with Regime Shifts," Journal of Economic Theory, 122, Issue 1, 1-141.

PINDYCK, R.S. (1988): "Irreversible Investment, Capacity Choice, and the Value of the Firm," American Economic Review, 78, 969-985.

SCHIED, A. (2005): "Optimal Investments for Robust Utility Functionals in Complete Market Models," Mathematics of Operations Research, 30, 3, 750-764.