Publication
Title
The worst case for real options
Author
Abstract
The problem of the timing of an investment decision under partial information is analyzed in a framework where the firm is ambiguity averse. The analysis yields the description of a robust decision rule for an investment in a finite life project in presence of a stochastic instantaneous return. It is demonstrated that ambiguity aversion may accelerate investment in the short run. Ex post validation of the determined investment policy treats the impact of ambiguity aversion on the proper way of discounting of the profit flow resulting from the project and the fair price of risk associated with ambiguity aversion.
Language
English
Source (journal)
Journal of optimization theory and applications. - New York, N.Y.
Publication
New York, N.Y. : 2010
ISSN
0022-3239
Volume/pages
146:3(2010), p. 709-734
ISI
000282708600009
Full text (Publishers DOI)
Full text (publishers version - intranet only)
UAntwerpen
Faculty/Department
Research group
Publication type
Subject
Affiliation
Publications with a UAntwerp address
External links
Web of Science
Record
Identification
Creation 08.12.2010
Last edited 08.04.2017
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