We present a model of firm investment under uncertainty and partial irreversibility in which uncertainty is represented … by a jump diffusion. This allows to represent both the continuous Gaussian volatility and the discontinuous uncertainty … related to information arrival, sudden changes and large shocks. The model shows how both sources of uncertainty negatively …

uncertainty set, in which asset returns can be realized. A too large uncertainty set will lead to a too conservative robust … portfolio. However, if the given uncertainty set is not large enough, the realized returns of resulting portfolios will be … outside of the uncertainty set when an extreme event such as market crash or a large shock of asset returns occurs. The goal …

optimal stopping problem. We find that the optimal investment decision is triggered by a convex curve, which we characterize … comparative statics results of the dependency of the project's value and investment decision with respect to the model …

Due to differences in the effectiveness and side effects of different drugs, uncertainty is an important component of … prescription drug choice. This uncertainty can cause patients and doctors to experiment with different drugs until they find a good … match. In this paper, we specify and estimate a dynamic model of pharmaceutical choice under uncertainty in which patients …

We investigate various statistical methods for forecasting risky choices and identify important decision predictors …