Villeneuve, Stéphane; Warin, Xavier - Institut d'Économie Industrielle (IDEI), Toulouse … - 2012
In this paper, we develop a dynamic model that captures the interaction between the cash reserves, the risk management policy and the profitability of a non-predictable irreversible investment opportunity. We consider a firm that has assets in place generating a stochastic cash- ow stream. The...