Incomplete markets, ambiguity, and irreversible investment

DOI10.1016/j.jedc.2010.12.001zbMath1231.91471OpenAlexW2081596001MaRDI QIDQ543804

Jacco J. J. Thijssen

Publication date: 17 June 2011

Published in: Journal of Economic Dynamics \& Control (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.jedc.2010.12.001

zbMATH Keywords

ambiguityirreversible investmentidiosyncratic risk

Mathematics Subject Classification ID

Utility theory (91B16) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (6)

Decision-making in incomplete markets with ambiguity—a case study of a gas field acquisition ⋮ The impact of operational delay on irreversible investment under Knightian uncertainty ⋮ Incomplete markets, Knightian uncertainty and high-water marks ⋮ A Knightian irreversible investment problem ⋮ Investment decisions under incomplete markets in the presence of wealth effects ⋮ New insights in capacity investment under uncertainty

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• Risk, Ambiguity, and the Savage Axioms
• Ambiguity, Risk, and Asset Returns in Continuous Time
• The impact of delivery lags on irreversible investment under uncertainty

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