Stochastic intertemporal duality: An applicationto investment under uncertainty

We present a duality concept for a class of stochastic dynamic optimization problems thatespecially includes models of investment under uncertainty. This concept allows us to deriveexplicit characterizations of optimal investment behavior from an adjustment cost model withexpectations described by linear or nonlinear stochastic processes...

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Year of publication:	2005-09-22
Authors:	Krysiak, Frank C.
Institutions:	Technische Universität <Berlin> / Fakultät Wirtschaft und Management
Published in:	Wirtschaftswissenschaftliches Zentrum <Basel> - Publikationen Journal of Economic Dynamics & Control 30 (2006) 1363–1387
Subject:	Stochastik \| Investment Banking \| Unsicherheit \| Dualität \| Erwartung

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Extent:	320512 bytes 25 p. application/pdf
Type of publication:	Article
Language:	English
Classification:	C61 - Optimization Techniques; Programming Models; Dynamic Analysis ; D92 - Intertemporal Firm Choice and Growth, Investment, or Financing ; Financial theory ; Procurement of capital ; Market research ; Individual Articles ; No country specification
Source:	USB Cologne (business full texts)

Persistent link: https://www.econbiz.de/10005868509