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Stochastic intertemporal duality: An application to investment under uncertainty

  • Krysiak, Frank C.

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File URL: http://www.sciencedirect.com/science/article/B6V85-4H5DY5C-1/2/8a35803e68561b8673c5c0067041beed
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Article provided by Elsevier in its journal Journal of Economic Dynamics and Control.

Volume (Year): 30 (2006)
Issue (Month): 8 (August)
Pages: 1363-1387

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Handle: RePEc:eee:dyncon:v:30:y:2006:i:8:p:1363-1387
Contact details of provider: Web page: http://www.elsevier.com/locate/jedc

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  1. Pindyck, Robert S., 1990. "Irreversibility, uncertainty, and investment," Working papers 3137-90., Massachusetts Institute of Technology (MIT), Sloan School of Management.
  2. Pierre Lasserre & Pierre Ouellette, 1999. "Dynamic Factor Demands and Technology Measurement under Arbitrary Expectations," Journal of Productivity Analysis, Springer, vol. 11(3), pages 219-241, June.
  3. Cooper, Russel J & McLaren, Keith R, 1993. "Approaches to the Solution of Intertemporal Consumer Demand Models," Australian Economic Papers, Wiley Blackwell, vol. 32(60), pages 20-39, June.
  4. Majd, Saman & Pindyck, Robert S., 1987. "Time to build, option value, and investment decisions," Journal of Financial Economics, Elsevier, vol. 18(1), pages 7-27, March.
  5. McLaren, Keith R & Cooper, Russel J, 1980. "Intertemporal Duality: Application to the Theory of the Firm," Econometrica, Econometric Society, vol. 48(7), pages 1755-62, November.
  6. Treadway, Arthur B., 1974. "The globally optimal flexible accelerator," Journal of Economic Theory, Elsevier, vol. 7(1), pages 17-39, January.
  7. Dale Jorgenson, 1967. "The Theory of Investment Behavior," NBER Chapters, in: Determinants of Investment Behavior, pages 129-175 National Bureau of Economic Research, Inc.
  8. Caputo, Michael R., 1992. "Fundamental symmetries and qualitative properties in the adjustment cost model of the firm," Journal of Mathematical Economics, Elsevier, vol. 21(2), pages 99-112.
  9. Cooper, Russel J & Madan, Dilip B & McLaren, Keith R, 1995. "Approaches to the Solution of Stochastic Intertemporal Consumption Models," Australian Economic Papers, Wiley Blackwell, vol. 34(64), pages 86-103, June.
  10. Caputo, Michael R., 1990. "How to do comparative dynamics on the back of an envelope in optimal control theory," Journal of Economic Dynamics and Control, Elsevier, vol. 14(3-4), pages 655-683, October.
  11. Caputo, Michael R, 1990. "Comparative Dynamics via Envelope Methods in Variational Calculus," Review of Economic Studies, Wiley Blackwell, vol. 57(4), pages 689-97, October.
  12. Treadway, Arthur B, 1971. "The Rational Multivariate Flexible Accelerator," Econometrica, Econometric Society, vol. 39(5), pages 845-55, September.
  13. Cooper, Russel J & McLaren, Keith R, 1980. "Atemporal, Temporal and Intertemporal Duality in Consumer Theory," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 21(3), pages 599-609, October.
  14. Caputo, Michael R., 2003. "The comparative dynamics of closed-loop controls for discounted infinite horizon optimal control problems," Journal of Economic Dynamics and Control, Elsevier, vol. 27(8), pages 1335-1365, June.
  15. Epstein, Larry G, 1981. "Duality Theory and Functional Forms for Dynamic Factor Demands," Review of Economic Studies, Wiley Blackwell, vol. 48(1), pages 81-95, January.
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