Optimal capital investment under uncertainty: An extension

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Optimal capital investment under uncertainty: An extension

Author Info

Inwon Jang () (Merrimack College)
Richard Wong () (Hartford Investment Management Company)
Hyeon-seung Huh () (Yonsei University)

Abstract

This paper develops a model for optimal capital investment in continuous time when both existing and new capital stocks are subject to uncertainty. The model is generalized to allow for large and infrequent changes in the dynamics of the capital stock, which may arise as a result of natural and man-made disasters.

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Publisher Info
Article provided by Economics Bulletin in its journal Economics Bulletin.

Volume (Year): 5 (2008)
Issue (Month): 4 ()
Pages: 1-7
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Handle: RePEc:ebl:ecbull:v:5:y:2008:i:4:p:1-7

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Find related papers by JEL classification:
E2 - Macroeconomics and Monetary Economics - - Macroeconomics: Consumption, Saving, Production, Employment, and Investment
C6 - Mathematical and Quantitative Methods - - Mathematical Methods and Programming

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Other versions:
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Other versions:
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Ambler, Steve & Paquet, Alain, 1994. "Stochastic Depreciation and the Business Cycle," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 35(1), pages 101-16, February. [Downloadable!] (restricted)
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Other versions:
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