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Individual preferences and the effect of uncertainty on irreversible investment

  • Muro, Kazunobu
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    File URL: http://www.sciencedirect.com/science/article/pii/S1090-9443(07)00041-5
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    Article provided by Elsevier in its journal Research in Economics.

    Volume (Year): 61 (2007)
    Issue (Month): 4 (December)
    Pages: 191-207

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    Handle: RePEc:eee:reecon:v:61:y:2007:i:4:p:191-207
    Contact details of provider: Web page: http://www.elsevier.com/locate/inca/622941

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    1. Obstfeld, Maurice, 1992. "Risk-Taking, Global Diversification, and Growth," CEPR Discussion Papers 688, C.E.P.R. Discussion Papers.
    2. Kimball, Miles S, 1990. "Precautionary Saving in the Small and in the Large," Econometrica, Econometric Society, vol. 58(1), pages 53-73, January.
    3. Duffie, Darrell & Epstein, Larry G, 1992. "Asset Pricing with Stochastic Differential Utility," Review of Financial Studies, Society for Financial Studies, vol. 5(3), pages 411-36.
    4. R. C. Merton, 1970. "Optimum Consumption and Portfolio Rules in a Continuous-time Model," Working papers 58, Massachusetts Institute of Technology (MIT), Department of Economics.
    5. Jamet, Stephanie, 2004. "Irreversibility, uncertainty and growth," Journal of Economic Dynamics and Control, Elsevier, vol. 28(9), pages 1733-1756, July.
    6. Svensson, L.E.O., 1988. "Portfolio Choice With Non-Expected Utility In Continuous Time," Papers 423, Stockholm - International Economic Studies.
    7. Dow, James Jr. & Olson, Lars J., 1992. "Irreversibility and the behavior of aggregate stochastic growth models," Journal of Economic Dynamics and Control, Elsevier, vol. 16(2), pages 207-223, April.
    8. Hartman, Richard, 1972. "The effects of price and cost uncertainty on investment," Journal of Economic Theory, Elsevier, vol. 5(2), pages 258-266, October.
    9. Leahy, John V & Whited, Toni M, 1996. "The Effect of Uncertainty on Investment: Some Stylized Facts," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 28(1), pages 64-83, February.
    10. John V. Leahy, 1993. "Investment in Competitive Equilibrium: The Optimality of Myopic Behavior," The Quarterly Journal of Economics, Oxford University Press, vol. 108(4), pages 1105-1133.
    11. Coleman Ii, Wilbur John, 1997. "Behavior Of Interest Rates In A General Equilibrium Multisector Model With Irreversible Investment," Macroeconomic Dynamics, Cambridge University Press, vol. 1(01), pages 206-227, January.
    12. Pindyck, Robert S, 1988. "Irreversible Investment, Capacity Choice, and the Value of the Firm," American Economic Review, American Economic Association, vol. 78(5), pages 969-85, December.
    13. Epstein, Larry G & Zin, Stanley E, 1989. "Substitution, Risk Aversion, and the Temporal Behavior of Consumption and Asset Returns: A Theoretical Framework," Econometrica, Econometric Society, vol. 57(4), pages 937-69, July.
    14. Simon Gilchrist & John C. Williams, 1998. "Putty-clay and investment: a business cycle analysis," Finance and Economics Discussion Series 1998-30, Board of Governors of the Federal Reserve System (U.S.).
    15. Duffie, Darrel & Lions, Pierre-Louis, 1992. "PDE solutions of stochastic differential utility," Journal of Mathematical Economics, Elsevier, vol. 21(6), pages 577-606.
    16. Bliss, C., 1998. "The Ergodic Distribution of Wealth with Random Shocks," Economics Papers 145, Economics Group, Nuffield College, University of Oxford.
    17. Ilan Cooper, 2006. "Asset Pricing Implications of Nonconvex Adjustment Costs and Irreversibility of Investment," Journal of Finance, American Finance Association, vol. 61(1), pages 139-170, 02.
    18. Cuong Le Van & Yiannis Vailakis, 2003. "Existence of a competitive equilibrium in a one sector growth model with heterogeneous agents and irreversible investment," Economic Theory, Springer, vol. 22(4), pages 743-771, November.
    19. Guo, Xin & Miao, Jianjun & Morellec, Erwan, 2005. "Irreversible investment with regime shifts," Journal of Economic Theory, Elsevier, vol. 122(1), pages 37-59, May.
    20. Ejarque, João Miguel, 1998. "Investment Irreversibility and Precautionary Savings in General Equilibrium," University of California at San Diego, Economics Working Paper Series qt63p1p2gz, Department of Economics, UC San Diego.
    21. Miquel Faig, 1998. "Understanding Investment Irreversibility In General Equilibrium," Working Papers faig-98-01, University of Toronto, Department of Economics.
    22. Duffie, Darrell & Epstein, Larry G, 1992. "Stochastic Differential Utility," Econometrica, Econometric Society, vol. 60(2), pages 353-94, March.
    23. 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.
    24. Steven R. Grenadier, 2002. "Option Exercise Games: An Application to the Equilibrium Investment Strategies of Firms," Review of Financial Studies, Society for Financial Studies, vol. 15(3), pages 691-721.
    25. Ferderer, J Peter, 1993. "The Impact of Uncertainty on Aggregate Investment Spending: An Empirical Analysis," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 25(1), pages 30-48, February.
    26. Bernard Dumas, 1989. "Perishable Investment and Hysteresis in Capital Formation," NBER Working Papers 2930, National Bureau of Economic Research, Inc.
    27. Nakamura, Tamotsu, 1999. "Risk-aversion and the uncertainty-investment relationship: a note," Journal of Economic Behavior & Organization, Elsevier, vol. 38(3), pages 357-363, March.
    28. Abel, Andrew B, 1983. "Optimal Investment under Uncertainty," American Economic Review, American Economic Association, vol. 73(1), pages 228-33, March.
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