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The impacts of uncertainties in a real options model under incomplete information

  • Shibata, Takashi

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File URL: http://www.sciencedirect.com/science/article/pii/S0377-2217(06)00844-7
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Article provided by Elsevier in its journal European Journal of Operational Research.

Volume (Year): 187 (2008)
Issue (Month): 3 (June)
Pages: 1368-1379

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Handle: RePEc:eee:ejores:v:187:y:2008:i:3:p:1368-1379
Contact details of provider: Web page: http://www.elsevier.com/locate/eor

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  1. Thijssen, J.J.J. & van Damme, E.E.C. & Huisman, K.J.M. & Kort, P.M., 2001. "Investment Under Vanishing Uncertainty Due to Information Arriving Over Time," Discussion Paper 2001-14, Tilburg University, Center for Economic Research.
  2. Robert McDonald & Daniel Siegel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, Oxford University Press, vol. 101(4), pages 707-727.
  3. Weeds, H., 2000. "Strategic Delay in a Real Optimna Model of R&D Competition," The Warwick Economics Research Paper Series (TWERPS) 576, University of Warwick, Department of Economics.
  4. Steven R. Grenadier & Neng Wang, 2005. "Investment Timing, Agency, and Information," NBER Working Papers 11148, National Bureau of Economic Research, Inc.
  5. Geske, Robert, 1979. "The valuation of compound options," Journal of Financial Economics, Elsevier, vol. 7(1), pages 63-81, March.
  6. Gennotte, Gerard, 1986. " Optimal Portfolio Choice under Incomplete Information," Journal of Finance, American Finance Association, vol. 41(3), pages 733-46, July.
  7. Kristian R. Miltersen & Eduardo S. Schwart, 2004. "R&D Investments with Competitive Interactions," Review of Finance, European Finance Association, vol. 8(3), pages 355-401.
  8. Harrison, J. Michael & Kreps, David M., 1979. "Martingales and arbitrage in multiperiod securities markets," Journal of Economic Theory, Elsevier, vol. 20(3), pages 381-408, June.
  9. Kristian R. Miltersen & Eduardo S. Schwartz, 2004. "R&D Investments with Competitive Interactions," NBER Working Papers 10258, National Bureau of Economic Research, Inc.
  10. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
  11. M. J. Brennan, 1998. "The Role of Learning in Dynamic Portfolio Decisions," Review of Finance, European Finance Association, vol. 1(3), pages 295-306.
  12. Yihong Xia, 2001. "Learning about Predictability: The Effects of Parameter Uncertainty on Dynamic Asset Allocation," Journal of Finance, American Finance Association, vol. 56(1), pages 205-246, 02.
  13. Kristian R. Miltersen & Eduardo S. Schwart, 2004. "R&D Investments with Competitive Interactions," Review of Finance, Springer, vol. 8(3), pages 355-401.
  14. Lambrecht, Bart & Perraudin, William, 2003. "Real options and preemption under incomplete information," Journal of Economic Dynamics and Control, Elsevier, vol. 27(4), pages 619-643, February.
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