Conditional investment policy under uncertainty and irreversibility

European Journal of Operational Research

Volumn 132, Issue 3, 2001, Pages 681-686

  Yilmaz, Fatih ^a  

^a UNIVERSITY OF EXETER BUSINESS SCHOOL   (United Kingdom)

Author keywords

Investment; Irreversibility; Optimal stopping; Stochastic processes

Indexed keywords

COSTS; DECISION MAKING; DECISION THEORY; DYNAMIC PROGRAMMING; INVESTMENTS; PARTIAL DIFFERENTIAL EQUATIONS; RANDOM PROCESSES; STOCHASTIC PROGRAMMING; STRATEGIC PLANNING;

STOCHASTIC DYNAMIC PROGRAMMING METHODS;

OPERATIONS RESEARCH;

EID: 0035427743     PISSN: 03772217     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0377-2217(00)00172-7     Document Type: Article

References (19)

1. G.M. Constantinides Market risk adjustment in project valuation Journal of Finance 33 1978 603 616
2. A.K. Dixit Investment and hysteresis Journal of Economic Perspectives 6 1992 107 132
3. Dixit, A.K., 1993. The art of smooth pasting. In: Lesourne, J., Sonnenschein H. (Eds.), Fundamentals of Pure and Applied Economics, vol. 55. Harwood, Chur, Switzerland
4. A.K. Dixit R.S. Pindyck Investment under Uncertainty 1994 Princeton University Press Princeton, NJ
5. D. Duffie C. Huang Implementing Arrow–Debreu equilibria by continuous trading of a few long-lived securities Econometrica 53 1985 1337 1356
6. D. Duffie Dynamic Asset Pricing Theory 1996 Princeton University Press Princeton, NJ
7. B. Dumas Super contact and related optimality conditions Journal of Economic Dynamics and Control 15 1992 675 695
8. M.S. Feldstein M. Rothschild Towards an economic theory of replacement investment Econometrica 42 1974 393 423
9. D.W. Jorgenson J.J. McCall R. Radner Optimal Replacement Policy 1967 Rand McNally & Company Chicago, IL
10. S. Karlin H.M. Taylor A Second Course in Stochastic Processes 1981 Academic Press New York
11. N. Krylov Controlled Diffusion Processes 1980 Springer New York
12. D.C. Mauer S.H. Ott Investment under uncertainty: The case of replacement investment decisions Journal of Financial and Quantitative Analysis 30 1995 581 605
13. R. McDonald D.R. Siegel The value of waiting to invest Quarterly Journal of Economics 101 1986 707 728
14. R. McLaughlin R.A. Taggart The opportunity cost of using excess capacity Financial Management 21 1992 12 23
15. R.C. Merton An intertemporal capital asset pricing model Econometrica 41 1973 867 880
16. R.S. Pindyck Irreversible investment, capacity choice and the value of the firm American Economic Review 78 1988 969 985
17. R.S. Pindyck Irreversibility, uncertainty, and investment Journal of Economic Literature 29 1991 1110 1152
18. J. Rust Optimal replacement of GMC bus engines: An empirical model of Harold Zurcher Econometrica 55 1987 999 1034
19. M.-H. Ye Optimal replacement policy with stochastic maintenance and operation costs European Journal of Operational Research 44 1990 84 94