Optimal investment with time-varying transition probabilities for regime switching
نویسندگان
چکیده
Abstract This study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is for an investor invest when project cash flows exceed a certain threshold. presents other results that refine or extend this one by integrating timing flexibility changes in with time-varying transition probabilities regime switching. emphasizes thresholds are either overvalued undervalued absence probabilities. Accordingly, stochastic nature has important implications search investment.
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ژورنال
عنوان ژورنال: Seonmul yeon'gu
سال: 2021
ISSN: ['2713-6647', '1229-988X']
DOI: https://doi.org/10.1108/jdqs-12-2020-0032