The effect of mean reversion on entry and exit decisions under uncertainty

DOI10.1016/J.JEDC.2009.10.015zbMath1202.91340OpenAlexW3125196117MaRDI QIDQ964582

Andrianos E. Tsekrekos

Publication date: 22 April 2010

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

Full work available at URL: https://doi.org/10.1016/j.jedc.2009.10.015

zbMATH Keywords

uncertaintyreal optionsinvestmentmean reversion

Mathematics Subject Classification ID

Applications of Brownian motions and diffusion theory (population genetics, absorption problems, etc.) (60J70) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (13)

Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ Leveraged investments and agency conflicts when cash flows are mean reverting ⋮ Efficient algorithms of pathwise dynamic programming for decision optimization in mining operations ⋮ Capacity optimization under uncertainty: the impact of operational time lags ⋮ Irreversible exit decisions under mean-reverting uncertainty ⋮ Good timing: the economics of optimal stopping ⋮ Hysteresis effects under CIR interest rates ⋮ Entry-exit decisions with underlying processes following geometric Lévy processes ⋮ Optimal pair-trading strategy over long/short/square positions—empirical study ⋮ Infinite-Horizon Optimal Switching Regions for a Pair-Trading Strategy with Quadratic Risk Aversion Considering Simultaneous Multiple Switchings: A Viscosity Solution Approach ⋮ Optimal entry and exit decisions under uncertainty and the impact of mean reversion ⋮ Entry and exit decisions with linear costs under uncertainty ⋮ Optimal switching strategy of a mean-reverting asset over multiple regimes

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