We study optimal portfolio decisions for a retail investor that faces strictly positive transaction cost in classical Black-Scholes market. provide construction of trading strategies and characterize the value function as unique viscosity solution associated quasi-variational inequalities. Moreover, we numerically investigate regions variety real-world structures faced by investors. find struct...

To select an optimal investment enterprise is the key to effectively reduce the investment risk for an investment company. In this paper, the author studies the problem of optimal investment enterprise selection decision under uncertain information environment (fuzzy information and grey information coexist), and present a fuzzy grey multi-attribute group decision making model to select the opt...

This paper analyzes optimal and non-optimal regulation of environmental externalities with investment in technology and uncertainty about the severity of environmental damages. Investment creates the potential for technology spillovers so that optimal regulation must address externalities from both emissions and investment. Despite these multiple externalities and uncertainty, we show that an o...

We consider an optimal investment problem when a firm such as an electric power company has the operational flexibility to expand and contract capacity with fixed cost. This problem is formulated as an impulse control problem combined with optimal stopping. Consequently, we obtain optimal investment timing, optimal capacity expansion and contraction timing, and the investment value. We also sho...

The purpose of this study is to analyze the consequence of the existence of positive externality in the optimal choice of a firm’s time of investment in a gaming environment. I consider a situation where firms can increase their subsequent revenue stream by investing at a period of time. The investment opportunity is assumed to be one-time opportunity and once it is made, it cannot be redone, i...

For decades financial economists have been attempted to determine the optimal investment policy by recognizing the option value embedded in irreversible investment whose project value evolves as a geometric Brownian motion (GBM). This paper aims to examine the effects of the optimal investment trigger and of the misspecification of stochastic processes on investment in real options applications...

We examine the optimal choice of hurdle rates in a capital budgeting setting in which a manager receives superior information regarding the profitability of an investment project. Unlike the prior capital budgeting literature that treats the distribution of investment returns as exogenous, we consider a scenario in which the manager can engage in upfront project development activities to improv...