Structural analysis of optimal investment for firms with non-concave revenues
AbstractQualitative properties of optimal investment strategies for a firm with quadratic costs and non-concave revenues are analysed. Organising information in a bifurcation diagram, it is found that the organising centre of the diagram is a so-called swallow-tail singularity. This implies the existence of threshold (or Skiba) points for positive discount factors. The parameter region for which threshold points exist is determined numerically, and for small discount factors some of its properties are derived by an approximation method.
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Bibliographic InfoPaper provided by Society for Computational Economics in its series Computing in Economics and Finance 2004 with number 187.
Date of creation: 11 Aug 2004
Date of revision:
Optimal Control; Bifurcation Theory;
Other versions of this item:
- Wagener, F.O.O., 2005. "Structural analysis of optimal investment for firms with non-concave revenue," Journal of Economic Behavior & Organization, Elsevier, vol. 57(4), pages 474-489, August.
- C61 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Optimization Techniques; Programming Models; Dynamic Analysis
- C63 - Mathematical and Quantitative Methods - - Mathematical Methods; Programming Models; Mathematical and Simulation Modeling - - - Computational Techniques
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