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Irreversible investments and ambiguity aversion

Abstract:

Real option valuation has traditionally been concerned with investment under project value uncertainty while assuming that the agent has perfect confidence in a specific model. However, agents do not generally have perfect confidence in their model and this ambiguity may affect their decisions. In addition, the value of real investments is not typically fully spanned by tradable assets because markets are incomplete as is typically the case in energy and commodities. In this paper, we account...

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Publication status:
Published
Peer review status:
Peer reviewed

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Publisher copy:
10.1142/S0219024917500443

Authors


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Institution:
University of Oxford
Division:
MPLS Division
Department:
Oxford-Man Institute of Quantitative Finance
Role:
Author
Publisher:
World Scientific Publishing Publisher's website
Journal:
International Journal of Theoretical and Applied Finance Journal website
Volume:
20
Issue:
7
Pages:
1750044
Publication date:
2017-09-18
Acceptance date:
2017-07-20
DOI:
EISSN:
1793-6322
ISSN:
0219-0249
Source identifiers:
731239
Keywords:
Pubs id:
pubs:731239
UUID:
uuid:3e85af0e-375b-4988-aadb-a3b7ebdf21b5
Local pid:
pubs:731239
Deposit date:
2017-11-20

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