considered one of irreversible investment with a cost functional which is non convex with respect to the control variable. In … this paper we study the optimal entry into this investment plan. The optimal entry policy can have an irregular boundary …

In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in … investment plan, and derive necessary and sufficient conditions for optimality. This allows us to construct the optimal policy in …-ignorance" - we are able to provide the explicit form of the optimal irreversible investment plan. …

This study develops and implements a theory and method for analyzing whether introducing new securities or relaxing … investment constraints improves the investment opportunity set for risk averse investors. We develop a test procedure for …

investment periods is the conditional risk mapping approach. The idea is to develop a model in which information from the … previous investment period can be used in the decision for the next investment period. In this approach, such information is …

(CPPI). We further propose its extension to the case when the investment horizon is not defined. As an illustration, we show …

multiperiod investment problem that a feed-forward, open-loop procedure, amenable to solution by conventional methods (e … recourse' process is a viable closed-loop approach for some practically useful multiperiod investment problems …