Optimal R\&D investment for a risk-averse entrepreneur

DOI10.1016/j.jedc.2009.11.009zbMath1209.91097OpenAlexW3122445007MaRDI QIDQ631241

A. Elizabeth Whalley

Publication date: 22 March 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.2009.11.009

zbMATH Keywords

R\&Dutility maximisationcost of unhedgeable riskentrepreneurial investmenttechnical uncertainty

Mathematics Subject Classification ID

Production theory, theory of the firm (91B38) Resource and cost allocation (including fair division, apportionment, etc.) (91B32) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (4)

Robust optimal R&D investment under technical uncertainty in a regime-switching environment ⋮ THE BEST HEDGING STRATEGY IN THE PRESENCE OF TRANSACTION COSTS ⋮ Exact Superreplication Strategies for a Class of Derivative Assets ⋮ Optimal product release time for a new high-tech startup firm under technical uncertainty

Cites Work

• Finite project life and uncertainty effects on investment
• A patent race in a real options setting: investment strategy, valuation, CAPM beta, and return volatility
• Valuing the option to invest in an incomplete market
• Corporate control and real investment in incomplete markets
• The effect of uncertainty on investment timing in a real options model
• Devaluating projects and the investment-uncertainty relationship
• Uncertainty and stepwise investment
• Optimal R\&D investments of the firm
• Utility based option pricing with proportional transaction costs and diversification problems: An interior-point optimization approach
• On the investment-uncertainty relationship in a real options model
• Utility based option evaluation with proportional transaction costs
• Horizon-unbiased utility functions
• Valuing Oil Properties: Integrating Option Pricing and Decision Analysis Approaches

This page was built for publication: Optimal R\&D investment for a risk-averse entrepreneur