Valuing an investment project using ...
Document type :
Compte-rendu et recension critique d'ouvrage
Title :
Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: From Knightian uncertainty to risk
Author(s) :
Braouezec, Yann [Auteur]
Lille économie management - UMR 9221 [LEM]
Joliet, Robert [Auteur]
Lille économie management - UMR 9221 [LEM]
Lille économie management - UMR 9221 [LEM]
Joliet, Robert [Auteur]
Lille économie management - UMR 9221 [LEM]
Journal title :
Economics Letters
Pages :
111-115
Publisher :
Elsevier
Publication date :
2019-05
ISSN :
0165-1765
English keyword(s) :
Knightian uncertainty
Investment decision
Option to wait
No-arbitrage
α -maxmin
Investment decision
Option to wait
No-arbitrage
α -maxmin
HAL domain(s) :
Sciences de l'Homme et Société/Economies et finances
English abstract : [en]
We consider a two-period irreversible investment decision problem in which the firm can either invest in period 0 or in period 1. The firm is assumed to be able to specify a set of three scenarios or more but not a probability ...
Show more >We consider a two-period irreversible investment decision problem in which the firm can either invest in period 0 or in period 1. The firm is assumed to be able to specify a set of three scenarios or more but not a probability measure. Assuming the option to wait is valued with the no-arbitrage principle, when the firm makes use of the criteria α-maxmin, we show the firm ends up with a known probability measure that assigns a positive probability to three or four scenarios only.Show less >
Show more >We consider a two-period irreversible investment decision problem in which the firm can either invest in period 0 or in period 1. The firm is assumed to be able to specify a set of three scenarios or more but not a probability measure. Assuming the option to wait is valued with the no-arbitrage principle, when the firm makes use of the criteria α-maxmin, we show the firm ends up with a known probability measure that assigns a positive probability to three or four scenarios only.Show less >
Language :
Anglais
Popular science :
Non
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