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The Real Options Effect of Uncertainty on Investment and Labor Demand
Investment labor demand uncertainty real options
2015/7/15
This paper shows that, contrary to common beliefs, the real options effect of uncertainty plays no role in the longrun rate of investment. This is proven for both the standard investment model with Co...
DOES UNCERTAINTY REDUCE GROWTH?USING DISASTERS AS NATURAL EXPERIMENTS
DOES UNCERTAINTY REDUCE GROWTH DISASTERS AS NATURAL EXPERIMENTS
2015/7/15
A growing body of evidence suggests that uncertainty is counter cyclical, rising sharply in recessions and falling in booms. But what is the causal relationship between uncertainty and growth? To iden...
Optimal stopping of expected profit and cost yields in an investment under uncertainty
expected profit cost yields investment under uncertainty
2010/10/18
We consider a finite horizon optimal stopping problem related to trade-off strategies between expected profit and cost cash-flows of an investment under uncertainty. The optimal problem is first formu...
Classical mean-variance portfolio theory12 tells us how to construct a portfo-lio of assets which has the greatest expected return for a given level of return volatility. Utility theory then allows an...
Superhedging and Dynamic Risk Measures under Volatility Uncertainty
Superhedging Dynamic Risk Measures
2010/12/13
We consider dynamic sublinear expectations (i.e., time-consistent coherent risk measures) whose scenario sets consist of singular measures corresponding to a general form of volatility uncertainty. W...
AbstractThis paper provides an explanation for outsourcing based on uncertainty. We study an optimal capital investment model both with and without the possibility to outsource under uncertainty. We s...