Noisy Information and Investment Decisions : A Note

This paper analyses investment decisions under uncertainty with noisy information. We provide closed-form solutions for the value of the investment policy and the optimal investment threshold. We show that when the information about the decision variable is noisy, the real option values generated by the model are close to that observed in reality. Noise is modelled with a mean-reverting stationnary process

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Year of publication:	[1998]
Authors:	Gauthier, Laurent
Other Persons:	Morellec, Erwan (contributor)
Publisher:	[1998]: [S.l.] : SSRN

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Extent:	1 Online-Ressource (9 p)
Type of publication:	Book / Working Paper
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments June 1997 erstellt
Other identifiers:	10.2139/ssrn.113189 [DOI]
Classification:	G31 - Capital Budgeting; Investment Policy
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10012744180