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Investment under Uncertainty: The Case of Replacement Investment Decisions
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Investment under Uncertainty: The Case of Replacement Investment Decisions (1995)Investment under Uncertainty: The Case of…The Art of Smooth Pasting (2013)The Art of Smooth PastingBrownian Motion and Stochastic Calculus (2007)Brownian Motion and Stochasti…Theory of rational option pricing (2005)Theory of rational option pri…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Interactions of Corporate Financing and Investment Decisions: A Dynamic Framework (1994)Interactions of Corporate Fin…Real Options and Interactions with Financial Flexibility (1993)Real Options and Interactions…Investments of uncertain cost (1993)Investments of uncertain costWaiting to Invest: Investment and Uncertainty (1992)Waiting to Invest: Investment…Super contact and related optimality conditions (1991)Super contact and related opt…Valuing Derivative Securities Using the Explicit Finite Difference Method (1990)Valuing Derivative Securities…Theory of Financial Decision Making. (1988)Theory of Financial Decision …Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher (1987)Optimal Replacement of GMC Bu…Stochastic Methods in Economics and Finance. (1984)Stochastic Methods in Economi…The Value of Waiting to Invest (1982)The Value of Waiting to InvestAn intertemporal asset pricing model with stochastic consumption and investment opportunities (1979)An intertemporal asset pricin…An Intertemporal Capital Asset Pricing Model (1973)An Intertemporal Capital Asse…Internal Control Weakness and the Asymmetrical Behavior of Selling, General, and Administrative Costs (2019)Internal Control Weakness and…Green electricity investment timing in practice: Real options or net present value? (2016)Green electricity investment …Investment timing under uncertain renewable energy policy: An empirical study of small hydropower projects (2014)Investment timing under uncer…Equipment Replacement Analysis: A Literature Review and Directions for Future Research (2013)Equipment Replacement Analysi…Optimised asset replacement strategy in the presence of lead time uncertainty (2012)Optimised asset replacement s…Renewing Assets with Uncertain Revenues and Operating Costs (2010)Renewing Assets with Uncertai…Operational asset replacement strategy: A real options approach (2010)Operational asset replacement…Adjusted Real Option Valuation to Maximise Mining Project Value - A Case Study Using Century Mine (2009)Adjusted Real Option Valuatio…Uncertainty, Real Options, and Cost Behavior: Evidence from Washington State Hospitals (2005)Uncertainty, Real Options, an…Investment under uncertainty and policy change (2004)Investment under uncertainty …A Cross‐national Comparison of R&D Expenditure Decisions: Tax Incentives and Financial Constraints* (2004)A Cross‐national Comparison o…Real Flexibility and Financial Structure: An Empirical Analysis (2003)Real Flexibility and Financia…Real (investment) options with multiple sources of rare events (2002)Real (investment) options wit…Partially Irreversible Investment Decisions and Taxation under Uncertainty: A Real Option Approach (2002)Partially Irreversible Invest…Decision Making Under Uncertainty—Real Options to the Rescue? (2002)Decision Making Under Uncerta…Capital Budgeting for Interrelated Projects: A Real Options Approach (1998)Capital Budgeting for Interre…EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)A Closed-Form Solution for Options with Stochastic Volatility with Applications to Bond and Currency Options (1993)The Pricing of Options and Corporate Liabilities (1973)Determinants of corporate borrowing (1977)Real Options and IT Platform Adoption: Implications for Theory and Practice (2004)Stakeholder Theory:The State of the Art (2010)Real options theory in strategic management (2016)Jumps and Stochastic Volatility: Exchange Rate Processes Implicit in Deutsche Mark Options (1996)Post-'87 crash fears in the S&P 500 futures option market (2000)Have Individual Stocks Become More Volatile? An Empirical Exploration of Idiosyncratic Risk (2001)Theory of games and economic behavior (2019)An equilibrium characterization of the term structure (1977)A Theory of the Term Structure of Interest Rates (1985)Economic Instability and Aggregate Investment (1993)Discounting the distant future: how much do uncertain rates increase valuations? (2003)Renewable energy investments under different support schemes: A real options approach (2012)Capital Theory and Investment Behavior (1963)Option pricing when underlying stock returns are discontinuous (1976)Irreversibility, Uncertainty, and Cyclical Investment (1980)Conditional Heteroskedasticity in Asset Returns: A New Approach (1991)Joint Ventures and the Option to Expand and Acquire (1991)Operating Flexibility, Global Manufacturing, and the Option Value of a Multinational Network (1994)Conditional logit analysis of qualitative choice behavior (1972)Conditional Choice Probabilities and the Estimation of Dynamic Models (1993)How Social Security and Medicare Affect Retirement Behavior In a World of Incomplete Markets (1997)Ability sorting and the returns to college major (2003)CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)Efficient Capital Markets: II (1991)Common risk factors in the returns on stocks and bonds (1993)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)The Cross-Section of Expected Stock Returns (1992)Answering the Skeptics: Yes, Standard Volatility Models do Provide Accurate Forecasts (1998)Modeling and Forecasting Realized Volatility (2003)Controlled Markov Processes and Viscosity Solutions (2005)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)
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References

  • 1994Investment Under Uncertainty.9,497 cited
  • 2007Brownian Motion and Stochastic Calculus7,421 cited
  • 2005Theory of rational option pricing7,161 cited
  • 1973An Intertemporal Capital Asset Pricing Model6,557 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 1979An intertemporal asset pricing model with stochastic consumption and investment opportunities2,694 cited
  • 1988Theory of Financial Decision Making.1,867 cited
  • 1987Optimal Replacement of GMC Bus Engines: An Empirical Model of Harold Zurcher1,725 cited
  • 1993Real Options and Interactions with Financial Flexibility690 cited
  • 1992Waiting to Invest: Investment and Uncertainty516 cited
  • 1993Investments of uncertain cost480 cited
  • 2013The Art of Smooth Pasting423 cited
  • 1991Super contact and related optimality conditions367 cited
  • 1994Interactions of Corporate Financing and Investment Decisions: A Dynamic Framework366 cited
  • 1990Valuing Derivative Securities Using the Explicit Finite Difference Method335 cited
  • 1984Stochastic Methods in Economics and Finance.

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Cited by

  • 2005Uncertainty, Real Options, and Cost Behavior: Evidence from Washington State Hospitals151 cited
  • 1998Capital Budgeting for Interrelated Projects: A Real Options Approach146 cited
  • 2002Decision Making Under Uncertainty—Real Options to the Rescue?139 cited
  • 2003Real Flexibility and Financial Structure: An Empirical Analysis111 cited
  • 2004A Cross‐national Comparison of R&D Expenditure Decisions: Tax Incentives and Financial Constraints*102 cited
  • 2002Real (investment) options with multiple sources of rare events89 cited
  • 2013Equipment Replacement Analysis: A Literature Review and Directions for Future Research81 cited
  • 2016Green electricity investment timing in practice: Real options or net present value?77 cited
  • 2010Renewing Assets with Uncertain Revenues and Operating Costs68 cited
  • 2014Investment timing under uncertain renewable energy policy: An empirical study of small hydropower projects61 cited
  • 2004Investment under uncertainty and policy change57 cited
  • 2019Internal Control Weakness and the Asymmetrical Behavior of Selling, General, and Administrative Costs55 cited
  • 2002Partially Irreversible Investment Decisions and Taxation under Uncertainty: A Real Option Approach54 cited
  • 2010Operational asset replacement strategy: A real options approach53 cited
  • 2009Adjusted Real Option Valuation to Maximise Mining Project Value - A Case Study Using Century Mine37 cited
  • 2012Optimised asset replacement strategy in the presence of lead time uncertainty36 cited