Irreversible Investments And Ambiguity Aversion
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DOI: 10.1142/S0219024917500443
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Cited by:
- Ali Al-Aradi & Alvaro Cartea & Sebastian Jaimungal, 2018. "Technical Uncertainty in Real Options with Learning," Papers 1803.05831, arXiv.org, revised Jul 2018.
- Alvaro Cartea & Ryan Donnelly & Sebastian Jaimungal, 2019. "Hedging Non-Tradable Risks with Transaction Costs and Price Impact," Papers 1908.00054, arXiv.org, revised Mar 2020.
- Cartea, Álvaro & Jaimungal, Sebastian & Qin, Zhen, 2019. "Speculative trading of electricity contracts in interconnected locations," Energy Economics, Elsevier, vol. 79(C), pages 3-20.
- Sarkar, Sudipto, 2021. "The uncertainty-investment relationship with endogenous capacity," Omega, Elsevier, vol. 98(C).
- Álvaro Cartea & Ryan Donnelly & Sebastian Jaimungal, 2020. "Hedging nontradable risks with transaction costs and price impact," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 833-868, July.
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Keywords
Real options; ambiguity aversion; risk aversion; robust optimal control; indifference pricing;All these keywords.
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