IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/5232010b-ce04-47bf-a11f-ef2a354ef548.html
   My bibliography  Save this paper

Risk Aversion, Price Uncertainty and Irreversible Investments

Author

Listed:
  • van den Goorbergh, R.W.J.

    (Tilburg University, School of Economics and Management)

  • Huisman, K.J.M.

    (Tilburg University, School of Economics and Management)

  • Kort, P.M.

    (Tilburg University, School of Economics and Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • van den Goorbergh, R.W.J. & Huisman, K.J.M. & Kort, P.M., 2003. "Risk Aversion, Price Uncertainty and Irreversible Investments," Other publications TiSEM 5232010b-ce04-47bf-a11f-e, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:5232010b-ce04-47bf-a11f-ef2a354ef548
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/599317/119.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    2. Robert McDonald & Daniel Siegel, 1986. "The Value of Waiting to Invest," The Quarterly Journal of Economics, President and Fellows of Harvard College, vol. 101(4), pages 707-727.
    3. Mas-Colell, Andreu & Whinston, Michael D. & Green, Jerry R., 1995. "Microeconomic Theory," OUP Catalogue, Oxford University Press, number 9780195102680.
    4. McDonald, Robert L & Siegel, Daniel R, 1985. "Investment and the Valuation of Firms When There Is an Option to Shut Down," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 26(2), pages 331-349, June.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Wang, Honglin & Yu, Fan & Reardon, Thomas & Huang, Jikun & Rozelle, Scott, 2013. "Social learning and parameter uncertainty in irreversible investments: Evidence from greenhouse adoption in northern China," China Economic Review, Elsevier, vol. 27(C), pages 104-120.
    2. Henderson, Vicky, 2010. "Is corporate control effective when managers face investment timing decisions in incomplete markets?," Journal of Economic Dynamics and Control, Elsevier, vol. 34(6), pages 1062-1076, June.
    3. Whalley, A. Elizabeth, 2011. "Optimal R&D investment for a risk-averse entrepreneur," Journal of Economic Dynamics and Control, Elsevier, vol. 35(4), pages 413-429, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. van den Goorbergh, R.W.J., 2004. "Essays on optimal hedging and investment strategies and on derivative pricing," Other publications TiSEM 4b4b16af-8621-463f-bbfa-0, Tilburg University, School of Economics and Management.
    2. Bar-Ilan, Avner & Strange, William C., 1998. "A model of sequential investment," Journal of Economic Dynamics and Control, Elsevier, vol. 22(3), pages 437-463, March.
    3. Tsekrekos, Andrianos E., 2010. "The effect of mean reversion on entry and exit decisions under uncertainty," Journal of Economic Dynamics and Control, Elsevier, vol. 34(4), pages 725-742, April.
    4. Tauer, Loren W., 2006. "When to Get In and Out of Dairy Farming: A Real Option Analysis," Agricultural and Resource Economics Review, Cambridge University Press, vol. 35(2), pages 339-347, October.
    5. Paolo M. Panteghini, 2012. "Corporate Debt, Hybrid Securities, and the Effective Tax Rate," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 14(1), pages 161-186, February.
    6. Bolton, Patrick & Wang, Neng & Yang, Jinqiang, 2019. "Investment under uncertainty with financial constraints," Journal of Economic Theory, Elsevier, vol. 184(C).
    7. Chronopoulos, Michail & De Reyck, Bert & Siddiqui, Afzal, 2014. "Duopolistic competition under risk aversion and uncertainty," European Journal of Operational Research, Elsevier, vol. 236(2), pages 643-656.
    8. Chen, I-Ju & Wang, David K., 2019. "Real option, idiosyncratic risk, and corporate investment: Evidence from Taiwan family firms," Pacific-Basin Finance Journal, Elsevier, vol. 57(C).
    9. Richard Duhautois & Stéphanie Jamet, 2001. "Hétérogénéité des comportements d'investissement et fluctuations de l'investissement agrégé," Economie & Prévision, La Documentation Française, vol. 149(3), pages 103-115.
    10. Paolo M. Panteghini & Sergio Vergalli, 2016. "Accelerated depreciation, default risk and investment decisions," Journal of Economics, Springer, vol. 119(2), pages 113-130, October.
    11. Shibata, Takashi & Nishihara, Michi, 2011. "Interactions between investment timing and management effort under asymmetric information: Costs and benefits of privatized firms," European Journal of Operational Research, Elsevier, vol. 215(3), pages 688-696, December.
    12. Liang, Hueimei & Lee, Kuo-Jung & Huang, Jen-Tsung & Lei, Hsien-Wei, 2013. "The optimal decisions in franchising under profit uncertainty," Economic Modelling, Elsevier, vol. 31(C), pages 128-137.
    13. Paolo Panteghini, 2004. "Wide vs. Narrow Tax Bases under Optimal Investment Timing," CESifo Working Paper Series 1246, CESifo.
    14. Laarni T. Bulan, 2005. "Real options, irreversible investment and firm uncertainty: New evidence from U.S. firms," Review of Financial Economics, John Wiley & Sons, vol. 14(3-4), pages 255-279.
    15. Sebastian Sund & Lars H. Sendstad & Jacco J. J. Thijssen, 2022. "Kalman filter approach to real options with active learning," Computational Management Science, Springer, vol. 19(3), pages 457-490, July.
    16. Shackleton, Mark B. & Tsekrekos, Andrianos E. & Wojakowski, Rafal, 2004. "Strategic entry and market leadership in a two-player real options game," Journal of Banking & Finance, Elsevier, vol. 28(1), pages 179-201, January.
    17. Sendstad, Lars Hegnes & Chronopoulos, Michail, 2017. "Strategic Technology Switching under Risk Aversion and Uncertainty," Discussion Papers 2017/10, Norwegian School of Economics, Department of Business and Management Science.
    18. Chiara D'Alpaos & Michele Moretto & Paola Valbonesi & Sergio Vergalli, 2009. "It is never too late: Optimal penalty for investment delay in public procurement contracts," Working Papers 0907, University of Brescia, Department of Economics.
    19. Andrianos Tsekrekos, 2013. "Irreversible exit decisions under mean-reverting uncertainty," Journal of Economics, Springer, vol. 110(1), pages 5-23, September.
    20. Paolo M. Panteghini, 2005. "Asymmetric Taxation under Incremental and Sequential Investment," Journal of Public Economic Theory, Association for Public Economic Theory, vol. 7(5), pages 761-779, December.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:5232010b-ce04-47bf-a11f-ef2a354ef548. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.