. Real option theory argues that research projects with conditional phases have option-like risk and return properties, and … portfolio risk, and changes diversification arguments when a portfolio is constructed. When R&D projects exhibit option … are different from unconditional projects. We show that although the risk of a portfolio always depends on the correlation …

Dominance and further toDecreasing Absolute and Increasing Relative Risk Aversion Stochastic Dominance. The efficient sets …

methods. Our methodology explores the idea that only a small part of the likelihood evaluation problem requires simulation. We …-off encountered by other sampling methods. An elaborate simulation study and an empirical application for U.S. stock returns reveal …

In this paper we perform a meta-analysis on empirical estimates of the impact between investment and uncertainty. Since … can explain to a large extent why empirical estimates of the investment-uncertainty relationship differ. …

We present an accurate and efficient method for Bayesian forecasting of two financial risk measures, Value-at-Risk and …-year-ahead. The latter has recently attracted considerable attention due to the different properties of short term risk and long run … risk. The key insight behind our importance sampling based approach is the sequential construction of marginal and …

This paper distinguishes uncertainty types that differ continuously with respect to the degree to which uncertainty … uncertainty types can lead to quite special results. Monopoly examples of the newsboy problem type are further used to show that … depends crucially on the type of uncertainty and the employed functional forms for utilities and costs. …

differences in risk premia. We deduct testable hypotheses on the basis of which we empirically analyze the impact of uncertainty …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 …