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Optimal investment under operational flexibility, risk aversion, and uncertainty
12 references·9 citing·42 second hop
Optimal investment under operational flexibility, risk aversion, and uncertainty (2011)Optimal investment under operational flex…Valuing the option to invest in an incomplete market (2007)Valuing the option to invest …Irreversible investment in alternative projects (2005)Irreversible investment in al…Real options with constant relative risk aversion (2002)Real options with constant re…Investment and capacity choice under uncertain demand (1999)Investment and capacity choic…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Methods of Mathematical Finance (1998)Methods of Mathematical Finan…Investment Under Uncertainty. (1994)Investment Under Uncertainty.Choosing among alternative discrete investment projects under uncertainty (1993)Choosing among alternative di…Time to build, option value, and investment decisions (1987)Time to build, option value, …Investment and the Valuation of Firms When There is an Option to Shut Down (1985)Investment and the Valuation …The Value of Waiting to Invest (1982)The Value of Waiting to InvestLifetime Portfolio Selection under Uncertainty: The Continuous-Time Case (1969)Lifetime Portfolio Selection …Investing in climate change adaptation and mitigation: A methodological review of real-options studies (2020)Investing in climate change a…Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties (2019)Valuing portfolios of interde…Platform flexibility strategies: R&D investment versus production customization tradeoff (2018)Platform flexibility strategi…Optimal regime switching under risk aversion and uncertainty (2016)Optimal regime switching unde…Propozycja hybrydy reguł Hurwicza i Bayesa w podejmowaniu decyzji w warunkach niepewności (2014)Propozycja hybrydy reguł Hurw…Optimal exercise of jointly held real options: A Nash bargaining approach with value diversion (2014)Optimal exercise of jointly h…Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk (2014)Entrepreneurial finance with …Competition through capacity investment under asymmetric existing capacities and costs (2014)Competition through capacity …Modifications of the Hurwicz’s decision rule (2013)Modifications of the Hurwicz’…The effects of price and cost uncertainty on investment (1972)THE VALUE OF AN OPTION TO EXCHANGE ONE ASSET FOR ANOTHER (1978)Real Options and Interactions with Financial Flexibility (1993)Investor valuation of the abandonment option (1996)Corporate Investment and Asset Price Dynamics: Implications for the Cross‐section of Returns (2004)Aspects of the Theory of Risk-Bearing. (1966)Optimum consumption and portfolio rules in a continuous-time model (1971)An Intertemporal Capital Asset Pricing Model (1973)LIFETIME PORTFOLIO SELECTION BY DYNAMIC STOCHASTIC PROGRAMMING (1975)Risk Aversion in the Small and in the Large (1976)Predicting Excess Stock Returns Out of Sample: Can Anything Beat the Historical Average? (2007)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)Investment under Uncertainty (1994)Rational hedging and valuation of integrated risks under constant absolute risk aversion (2003)Optimal Hedging with Basis Risk (2006)Brownian Motion and Stochastic Calculus (2007)A critical review of Real Options thinking for valuing investment flexibility in Smart Grids and low carbon energy systems (2015)Theory of Rational Option Pricing (1973)Time to Build and Aggregate Fluctuations (1982)Option Valuation of Claims on Real Assets: The Case of Offshore Petroleum Leases (1988)Strategy through the Option Lens: An Integrated View of Resource Investments and the Incremental-Choice Process (1993)Theory of rational option pricing (2005)Determinants of corporate borrowing (1977)Investment, consumption, and hedging under incomplete markets (2007)Optimal exercise of executive stock options and implications for firm cost (2010)The Stochastic Behavior of Commodity Prices: Implications for Valuation and Hedging (1997)The Value Premium (2005)Policy Uncertainty and Corporate Investment (2015)Value-at-Risk-Based Risk Management: Optimal Policies and Asset Prices (2001)A Jump-Diffusion Model for Option Pricing (2002)Econometric Analysis of Realized Covariation: High Frequency Based Covariance, Regression, and Correlation in Financial Economics (2004)Managing Capacity in the High-Tech Industry: A Review of Literature (2005)Investment timing and optimal capacity choice for small hydropower projects (2007)Strategic capacity investment under uncertainty (2015)Portfolio and Consumption Decisions under Mean-Reverting Returns: An Exact Solution for Complete Markets (2002)Pricing American Options: A Duality Approach (2004)Model Uncertainty and Option Markets with Heterogeneous Beliefs (2006)
this work references cited by second hop

References

  • 1994Investment Under Uncertainty.9,497 cited
  • 1969Lifetime Portfolio Selection under Uncertainty: The Continuous-Time Case5,199 cited
  • 1982The Value of Waiting to Invest3,606 cited
  • 1998Methods of Mathematical Finance1,939 cited
  • 1987Time to build, option value, and investment decisions912 cited
  • 1998Methods of Mathematical Finance888 cited
  • 1985Investment and the Valuation of Firms When There is an Option to Shut Down759 cited
  • 1999Investment and capacity choice under uncertain demand232 cited
  • 2007Valuing the option to invest in an incomplete market188 cited
  • 2002Real options with constant relative risk aversion151 cited
  • 2005Irreversible investment in alternative projects132 cited
  • 1993Choosing among alternative discrete investment projects under uncertainty95 cited

Cited by

  • 2020Investing in climate change adaptation and mitigation: A methodological review of real-options studies65 cited
  • 2013Modifications of the Hurwicz’s decision rule50 cited
  • 2014Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk45 cited

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2014
Optimal exercise of jointly held real options: A Nash bargaining approach with value diversion
32 cited
  • 2016Optimal regime switching under risk aversion and uncertainty30 cited
  • 2019Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties28 cited
  • 2018Platform flexibility strategies: R&D investment versus production customization tradeoff19 cited
  • 2014Competition through capacity investment under asymmetric existing capacities and costs18 cited
  • 2014Propozycja hybrydy reguł Hurwicza i Bayesa w podejmowaniu decyzji w warunkach niepewności3 cited