Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: From Knightian uncertainty to risk

被引：0

作者：

Braouezec, Yann ^{[1
]}

Joliet, Robert ^{[2
]}

机构：

[1] IESEG Sch Management, CNRS LEM, UMR 9221, Socle Grance Arche, Paris Campus,1 Parvis Def, F-92044 Paris, France

[2] IESEG Sch Management, CNRS LEM, UMR 9221, Lille Campus,3 Rue Digue, F-59000 Lille, France

来源：

ECONOMICS LETTERS | 2019年 / 178卷

关键词：

Knightian uncertainty; Investment decision; Option to wait; No-arbitrage; alpha-maxmin;

D O I：

10.1016/j.econlet.2019.03.007

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

We consider a two-period irreversible investment decision problem in which the firm can either invest in period 0 or in period 1. The firm is assumed to be able to specify a set of three scenarios or more but not a probability measure. Assuming the option to wait is valued with the no-arbitrage principle, when the firm makes use of the criteria alpha-maxmin, we show the firm ends up with a known probability measure that assigns a positive probability to three or four scenarios only. (C) 2019 Elsevier B.V. All rights reserved.

引用

页码：111 / 115

页数：5