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Optimal time to invest when the price processes are geometric Brownian motions
2 references·11 citing·44 second hop
Optimal time to invest when the price processes are geometric Brownian motions (1998)Optimal time to invest when the price pro…Stochastic Differential Equations: An Introduction with Applications. (1987)Stochastic Differential Equat…The Value of Waiting to Invest (1982)The Value of Waiting to InvestThe effectiveness of carbon pricing: The role of diversification in a firm’s investment decision (2022)The effectiveness of carbon p…Switching from oil to gas production in a depleting field (2018)Switching from oil to gas pro…Economics of High-Temperature Nuclear Reactors for Industrial Cogeneration (2014)Economics of High-Temperature…Repowering of Wind Turbines: Economics and Optimal Timing (2012)Repowering of Wind Turbines: …Valuation of CCS-ready coal-fired power plants: a multi-dimensional real options approach (2011)Valuation of CCS-ready coal-f…Acquisition of Project-Specific Assets with Bayesian Updating (2011)Acquisition of Project-Specif…A harmonic function technique for the optimal stopping of diffusions (2011)A harmonic function technique…OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY (2010)OPTIMAL REDEEMING STRATEGY OF…Optimal and strategic timing of mergers and acquisitions motivated by synergies and risk diversification (2007)Optimal and strategic timing …Irreversible Investment under Interest Rate Variability: Some Generalizations* (2006)Irreversible Investment under…Long-term risk management of nuclear waste: a real options approach (2002)Long-term risk management of …CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investment Under Uncertainty. 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(2011)Strategic real options under asymmetric information (2011)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Optimal Power Generation Investment: Impact of Technology Choices and Existing Portfolios for Deploying Low-Carbon Coal Technologies (2013)The role of national carbon pricing in phasing out China's coal power (2021)Prices vs. Quantities (1974)To Tax or Not to Tax: Alternative Approaches to Slowing Global Warming (2007)Emerging Industry Development and Information Transmission in Financial Markets: Evidence from China's Renewable Energy (2023)A Nonparametric Model of Term Structure Dynamics and the Market Price of Interest Rate Risk (1997)The dynamics of stochastic volatility: evidence from underlying and options markets (2003)Liaisons dangereuses: Increasing connectivity, risk sharing, and systemic risk (2012)
this work references cited by second hop

References

  • 1987Stochastic Differential Equations: An Introduction with Applications.3,963 cited
  • 1982The Value of Waiting to Invest3,606 cited

Cited by

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  • 2011Valuation of CCS-ready coal-fired power plants: a multi-dimensional real options approach46 cited
  • 2012Repowering of Wind Turbines: Economics and Optimal Timing46 cited
  • 2011A harmonic function technique for the optimal stopping of diffusions42 cited
  • 2010OPTIMAL REDEEMING STRATEGY OF STOCK LOANS WITH FINITE MATURITY36 cited
  • 2022The effectiveness of carbon pricing: The role of diversification in a firm’s investment decision29 cited
  • 2011Acquisition of Project-Specific Assets with Bayesian Updating27 cited
  • 2006Irreversible Investment under Interest Rate Variability: Some Generalizations*25 cited
  • 2018Switching from oil to gas production in a depleting field23 cited

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