We consider all or nothing investment problem with a finite time horizon when the investment opportunity set is changing stochastically over time, especially under Markovian regime-switching environment, and a decision maker faces ambiguity of parameters governing profit flow dynamics of the investment. We apply α-Maxmin Expected Utility(α-MEU) preferences to reflect the ambiguity seeking attit...

This paper proposes a real options model for evaluating the biomass power generation investment in China. The uncertainties in the market price of electricity, CO2 price and straw price are considered. Meanwhile the dynamic relationship between installed capacity and fuel cost, as well as the long-term reduction of subsidy are described. Two scenarios, i.e., with the carbon emission trading sch...

The paper adopts from the investment behavior theory and studies the affecting factors of financial investors in investment decision-making and the investment fund behavioral deviation. At the same time, the thesis also analyzes the efficiency of asset allocation and investment behavior of China's securities investment funds, and studies its impact on China's securities market. On the basis of ...

Characterizing the instantaneous investment opportunity set by the real interest rate and the maximum Sharpe ratio, a simple model of time varying investment opportunities is posited in which these two variables follow correlated Ornstein-Uhlenbeck processes, and the implications for stock and bond valuation are developed. The model suggests that the prices of certain portfolios that are relate...

The theory of subanalytic sets is an excellent tool in various analytic-geometric contexts; see, for example, Bierstone and Milman [1]. Regrettably, certain “nice” sets—like { (x, x) : x > 0 } for positive irrational r, and { (x, e−1/x) : x > 0 }—are not subanalytic (at the origin) in R. Here we make available an extension of the category of subanalytic sets that has these sets among its object...

The ability to collect detailed information about customer behavior and the ease of communication due to new technologies (including Internet and IT) have motivated extensive research into dynamic decision making in general and continuous-time production, pricing and investment strategies in particular. The carry over to investments in supply chain infrastructures by interacting firms, sharing ...

This paper documents the existence of a CEO Investment Cycle, in which disinvestment decreases over CEO tenure while investment increases, leading to “cyclical” firm growth in assets as well as in employment. The CEO investment cycle is present for both firings and non-performance related CEO turnovers. Its magnitude is substantial: the estimated difference in investment rate between the first ...

Only recently the general assumption of a negative investment-uncertainty relationship has been questioned in the literature and some examples of a nonmonotonic investment-uncertainty relationship have been found. By analyzing the influence of uncertainty on the probability to invest in a given time we show that the non-monotonicity of this relationship is not an exemption but the rule. Further...