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On optimal timing of investment when cost components are additive and follow geometric diffusions

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  • Olsen, Trond E.
  • Stensland, Gunnar

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  • Olsen, Trond E. & Stensland, Gunnar, 1992. "On optimal timing of investment when cost components are additive and follow geometric diffusions," Journal of Economic Dynamics and Control, Elsevier, vol. 16(1), pages 39-51, January.
  • Handle: RePEc:eee:dyncon:v:16:y:1992:i:1:p:39-51
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    References listed on IDEAS

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    1. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    2. Miles Kimball & Philippe Weil, 2009. "Precautionary Saving and Consumption Smoothing across Time and Possibilities," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 41(2-3), pages 245-284, March.
    3. Aiyagari, S. Rao & Gertler, Mark, 1991. "Asset returns with transactions costs and uninsured individual risk," Journal of Monetary Economics, Elsevier, vol. 27(3), pages 311-331, June.
    4. Kimball, Miles S, 1993. "Standard Risk Aversion," Econometrica, Econometric Society, vol. 61(3), pages 589-611, May.
    5. Weil, Philippe, 1989. "The equity premium puzzle and the risk-free rate puzzle," Journal of Monetary Economics, Elsevier, vol. 24(3), pages 401-421, November.
    6. Heaton, John & Lucas, Deborah J, 1996. "Evaluating the Effects of Incomplete Markets on Risk Sharing and Asset Pricing," Journal of Political Economy, University of Chicago Press, vol. 104(3), pages 443-487, June.
    7. Kihlstrom, Richard E & Romer, David & Williams, Steve, 1981. "Risk Aversion with Random Initial Wealth," Econometrica, Econometric Society, vol. 49(4), pages 911-920, June.
    8. Pratt, John W & Zeckhauser, Richard J, 1987. "Proper Risk Aversion," Econometrica, Econometric Society, vol. 55(1), pages 143-154, January.
    9. Rouwenhorst, K.G., 1991. "Asset Returns and Business Cycles," Papers 40, Rochester, Business - Ph.D.,.
    10. Cox, John C & Ingersoll, Jonathan E, Jr & Ross, Stephen A, 1985. "An Intertemporal General Equilibrium Model of Asset Prices," Econometrica, Econometric Society, vol. 53(2), pages 363-384, March.
    11. A. Sandmo, 1970. "The Effect of Uncertainty on Saving Decisions," Review of Economic Studies, Oxford University Press, vol. 37(3), pages 353-360.
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    Cited by:

    1. Rohlfs, Wilko & Madlener, Reinhard, 2010. "Valuation of CCS-Ready Coal-Fired Power Plants: A Multi-Dimensional Real Options Approach," FCN Working Papers 7/2010, E.ON Energy Research Center, Future Energy Consumer Needs and Behavior (FCN).
    2. Luis H.R. Alvarez & Jukka Lempa & Elias Oikarinen, 2009. "Do Standard Real Option Models Overestimate the Required Rate of Return of Real Estate Investment Opportunities?," Discussion Papers 52, Aboa Centre for Economics.
    3. Thijssen, Jacco J.J., 2008. "Optimal and strategic timing of mergers and acquisitions motivated by synergies and risk diversification," Journal of Economic Dynamics and Control, Elsevier, vol. 32(5), pages 1701-1720, May.
    4. GAHUNGU, Joachim & SMEERS, Yves, 2011. "Optimal time to invest when the price processes are geometric Brownian motions. A tentative based on smooth fit," CORE Discussion Papers 2011034, Université catholique de Louvain, Center for Operations Research and Econometrics (CORE).
    5. Cesare Dosi & Michele Moretto, 1997. "Pollution Accumulation and Firm Incentives to Accelerate Technological Change Under Uncertain Private Benefits," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 10(3), pages 285-300, October.
    6. Dean Paxson, 2007. "Sequential American Exchange Property Options," The Journal of Real Estate Finance and Economics, Springer, vol. 34(1), pages 135-157, January.
    7. Moretto, Michele, 2000. "Irreversible investment with uncertainty and strategic behavior," Economic Modelling, Elsevier, vol. 17(4), pages 589-617, December.

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