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Decision making in incomplete markets with ambiguity : a case study of a gas field acquisition
Zhao, Lin; Wijnbergen, Sweder van - 2014
We apply utility indifference pricing to solve a contingent claim problem, valuing a connected pair of gas fields where the underlying process is not standard Geometric Brownian motion and the assumption of complete markets is not fulfilled. First, empirical data are often characterized by...
Persistent link: https://www.econbiz.de/10010465169
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Optimal search with costly recall
Janssen, Maarten C. W.; Parakhonyak, Alexei - 2008
This paper builds a consumer search model where the cost of going back to stores already searched is explicitly taken into account. We show that the optimal search rule under costly recall is very different from the optimal search rule under perfect recall. Under costly recall, the optimal...
Persistent link: https://www.econbiz.de/10011373816
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Approximate results for a generalized secretary problem
Dietz, Chris; Laan, Dinard van der; Ridder, Ad - 2010
A version of the classical secretary problem is studied, in which one is interested in selecting one of the b best out of a group of n differently ranked persons who are presented one by one in a random order. It is assumed that b is bigger than or equal to 1 is a preassigned number. It is...
Persistent link: https://www.econbiz.de/10011381898
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Solving penalised American options for jump diffusions using the POST algorithm
Hessing, Jean-Claude; Lange, Rutger-Jan; Ralph, Daniel - 2022
This article establishes the Poisson optional stopping times (POST) method by [22] as a near-universal method for solving liquidity-constrained American options, or, equivalently, penalised optimal-stopping problems. In this setup, the decision maker is permitted to "stop", i.e. exercise the...
Persistent link: https://www.econbiz.de/10012817150
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Biodiversity prospecting over time and under uncertainty : a theory of sorts
Batabyal, Amitrajeet A.; Nijkamp, Peter - 2013
Biodiversity prospecting refers to the exploration of the commercial value of genetic and biochemical resources. In this chapter, we study a drug producing pharmaceutical firm (PF) that searches for potentially useful chemicals made by wild organisms in a conservation area. This PF is able to...
Persistent link: https://www.econbiz.de/10010224811
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Voluntary participation and intergenerational risk sharing in a funded pension system
Beetsma, Roel; Romp, Ward E.; Vos, Siert J. - 2011 - This version: March 16, 2011
increases with risk aversion and financial market uncertainty. We find that it is likely that mandatory participation is …
Persistent link: https://www.econbiz.de/10011386164
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Intergenerational sharing of unhedgeable inflation risk
Chen, Damiaan H. J.; Beetsma, Roel; Wijnbergen, Sweder van - 2022 - This version: November 16, 2022
We explore how members of a collective pension scheme can share inflation risks in the absence of suitable financial market instruments. Using intergenerational risk sharing arrangements, risks can be allocated better across the various participants of a collective pension scheme than would be...
Persistent link: https://www.econbiz.de/10013460026
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Starting an R&D project under uncertainty
Dobbelaere, Sabien; Luttens, Roland Iwan; Peters, Bettina - 2010
We study a two-stage R&D project with an abandonment option. Two types of uncertainty influence the decision to start R …&D. Demand uncertainty is modelled as a lottery between a proportional increase and decrease in demand. Technical uncertainty is … modelled as a lottery between a decrease and increase in the cost to continue R&D. We relate differences in uncertainty to …
Persistent link: https://www.econbiz.de/10011378299
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Inherent efficiency, security markets, and the pricing of investment strategies
Zou, Liang - 2000
This paper applies the dichotomous theory of choice by Zou (2000a) tothe analysis of investmentstrategies and security markets. Issues concerning individualoptimality, (approximate) arbitrage,capital market equilibrium, and Pareto efficiency are studied undervarious market conditions. Among the...
Persistent link: https://www.econbiz.de/10011304380
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Investment, expectations and uncertainty : empirical evidence on the relevance of firm size
Koetse, Mark J.; Vlist, Arno J. van der; Groot, Henri … - 2003
This paper analyses the effect of uncertainty on investment spending. We analyse twotypes of investment, i.e. aggregate … investment and investment in energy saving technologies,using subjective evaluations of expectations and uncertainty of Dutch … general investment spending. Furthermore, expectationsand uncertainty have important although different effects on investment …
Persistent link: https://www.econbiz.de/10011333261