Optimal investment policy with fixed adjustment costs and complete irreversibility

DOI10.1016/J.ECONLET.2014.06.026zbMath1302.91179OpenAlexW2089985427MaRDI QIDQ485719

Nicolas Roys

Publication date: 14 January 2015

Published in: Economics Letters (Search for Journal in Brave)

Full work available at URL: http://discovery.ucl.ac.uk/14671/1/14671.pdf

zbMATH Keywords

dynamic programminginvestmentirreversibilityadjustment costs

Mathematics Subject Classification ID

Dynamic programming (90C39) Portfolio theory (91G10)

Cites Work

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• The \((S,s)\) policy is an optimal trading strategy in a class of commodity price speculation problems
• Asset Pricing and Optimal Portfolio Choice in the Presence of Illiquid Durable Consumption Goods
• Explaining Investment Dynamics in U.S. Manufacturing: A Generalized (S, s) Approach
• Idiosyncratic Shocks and the Role of Nonconvexities in Plant and Aggregate Investment Dynamics
• On the Nature of Capital Adjustment Costs

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