Flor, Christian Riis; Hesel, Søren - In: Journal of Economic Dynamics and Control 51 (2015) C, pp. 278-298
We analyze a firm׳s investment problem when the dynamics of project value and investment cost are uncertain. We provide an explicit solution using a robust method for an ambiguity averse firm taking this into account. Ambiguity aversion regarding a common risk factor impacts differently than...