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Model Uncertainty, Ambiguity Premium and Optimal Asset Allocation

Xu, Yuhong - 2016

. Especially the condition of arbitrage for sub-hedging strategy fills the gap of the theory of arbitrage under model uncertainty … subhedging P&L.Asset allocation under constant absolute risk aversion (CARA) utility is investigated with ambiguous volatility … and subjective risk premium. I show that ambiguity aversion of a rational individual decreases her market participation …

Persistent link: https://www.econbiz.de/10012987227

Sequential investments with stage-specific risks and drifts

Adkins, Roger; Paxson, Dean A. - In: The European journal of finance 23 (2017) 10/12, pp. 1150-1175

Persistent link: https://www.econbiz.de/10011741473

A model of investment under uncertainty with time to build, market incompleteness and risk aversion

Delaney, Laura - In: European journal of operational research : EJOR 293 (2021) 3, pp. 1155-1167

Persistent link: https://www.econbiz.de/10012533815

On an irreversible investment problem with two-factor uncertainty

Dammann, Felix; Ferrari, Giorgio - 2021

We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The company has the opportunity to invest into a production plant capable of producing two products, of which the prices follow two independent geometric Brownian motions. After...

Persistent link: https://www.econbiz.de/10012488060

A model for irreversible investment with construction and revenue uncertainty

Thijssen, Jacco J. J. - In: Journal of economic dynamics & control 57 (2015), pp. 250-266

Persistent link: https://www.econbiz.de/10011574628

Investment under Uncertainty - Asian Evidence

Chen-Ying, Ben - 2022

Persistent link: https://www.econbiz.de/10013406245

Blockbuster Antivirals and Vaccines : Real Options in a Flu Pandemic

Koh, Wilson - 2014

Avian flu has been the focus of significant attention since 2004, when there were reports of human infections in Asia from the avian flu H5N1 strain. To prevent the catastrophic mortality of mankind, several governments are stockpiling antivirals and pharmaceutical firms are increasing their...

Persistent link: https://www.econbiz.de/10014206383

Auctions of Real Options

Cong, Lin William - 2019

Governments and corporations frequently auction assets with embedded real options using both cash and contingent bids. I characterize equilibrium bidding and option exercise strategies, and find that the moral hazard associated with uncontractible investment timing inefficiently and...

Persistent link: https://www.econbiz.de/10012905552

Real Extreme R&D Discovery Options

Koh, Wilson - 2009

R&D is often a highly uncertain venture where experiments achieve successful outcomes on an extraordinarily rare basis. Just one successful product could change the future of a company; the discovery stage can often be an invaluable or disastrous experience. We develop a real R&D option model...

Persistent link: https://www.econbiz.de/10013160214

Management of Regional Corporate Innovation Projects Using Compound Real Options

Yashin, Sergey; Yashina, Nadezhda; Koshelev, Egor - 2023

The purpose of this research is to develop a cost estimation model of a project with its real options. This issue is particularly attributed to the selection of an adequate evaluation model. However, despite the high computational accuracy of a particular model, it can scarcely ever meet the...

Persistent link: https://www.econbiz.de/10014256626