Irreversible Investment of the Risk- and Uncertainty-averse DM under k-Ignorance The Role of BSDE

被引：0

作者：

Wang, Zengwu ^{[1
]}

机构：

[1] Chinese Acad Social Sci, Inst Finance & Banking, Beijing 100732, Peoples R China

来源：

ANNALS OF ECONOMICS AND FINANCE | 2010年 / 11卷 / 02期

关键词：

Irreversible investment; k-ignorance; Risk; Uncertainty; Backward stochastic differential equation (BSDE in short); Conditional g-expectation; EXPECTED UTILITY;

D O I：

暂无

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this paper, the approach of BSDE will be employed to study the irreversible investment problem under k-ignorance when the DM is risk- and uncertainty-averse For the case of logarithmic utility, we work out the explicit solutions of the value of the utilized patent, the value of the unutilized patent, and the value of the reservation profit Furthermore, in view of numerical method, the effects of the risk and the uncertainty on the above three parameters are analyzed All the comparative static results are consistent with our intuition

引用

页码：313 / 335

页数：23