In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in … investment plan, and derive necessary and sufficient conditions for optimality. This allows us to construct the optimal policy in … - where risk is driven by a geometric Brownian motion and Knightian uncertainty is realized through a so-called "k …

requirement of rich expertise in financial risk. Compared with other black-box algorithms, the explainable CBR system allows a … predicting financial risk, which is essential for both financial companies and their customers. In addition, results show that …

We consider a real options model for the optimal irreversible investment problem of a profit maximizing company. The … two independent geometric Brownian motions. After paying a constant sunk investment cost, the company sells the products … on the market and thus receives a continuous stochastic revenue-flow. This investment problem is set as a twodimensional …

assets only, the constrained one, and the presence of a risk-free asset. The use of a generalized form for the budget … - and infer the price of pure risk. Some properties of the several solutions are highlighted. The rationale for a linear …

-time mean-variance portfolio selection problems with risk aversion coefficient being constant or state-dependent, under the …