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Super contact and related optimality conditions

Citations

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Cited by:

  1. Yishay D. Maoz, 2005. "More on Bernanke's “Bad News Principle”," General Economics and Teaching 0510002, University Library of Munich, Germany.
  2. 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.
  3. Park, Hojeong, 2012. "Real option analysis for effects of emission permit banking on investment under abatement cost uncertainty," Economic Modelling, Elsevier, vol. 29(4), pages 1314-1321.
  4. Wu, Yaoyao & Yang, Jinqiang & Zou, Zhentao, 2017. "Dynamic corporate investment and liquidity management under model uncertainty," Economics Letters, Elsevier, vol. 155(C), pages 9-13.
  5. Bruno Strulovici & Martin Szydlowski, 2012. "On the Smoothness of Value Functions," Discussion Papers 1542, Northwestern University, Center for Mathematical Studies in Economics and Management Science.
  6. Andrianos Tsekrekos & George Kanoutos, 2013. "Real Options Premia Implied from Recent Transactions in the Greek Real Estate Market," The Journal of Real Estate Finance and Economics, Springer, vol. 47(1), pages 152-168, July.
  7. Castellano, Rosella & Cerqueti, Roy, 2011. "The optimal bid/ask spread in a Specialist System," Economic Modelling, Elsevier, vol. 28(5), pages 2247-2253, September.
  8. Hui Chen & Gustavo Manso, 2017. "Macroeconomic Risk and Debt Overhang," The Review of Corporate Finance Studies, Society for Financial Studies, vol. 6(1), pages 1-38.
  9. Kejriwal, Mohitosh & Perron, Pierre, 2008. "Data Dependent Rules For Selection Of The Number Of Leads And Lags In The Dynamic Ols Cointegrating Regression," Econometric Theory, Cambridge University Press, vol. 24(5), pages 1425-1441, October.
  10. Bolton, Patrick & Chen, Hui & Wang, Neng, 2013. "Market timing, investment, and risk management," Journal of Financial Economics, Elsevier, vol. 109(1), pages 40-62.
  11. Wang, Ting & Young, Virginia R., 2012. "Maximizing the utility of consumption with commutable life annuities," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 352-369.
  12. Robert Amano & Richard Black & Marcel Kasumovich, 1997. "A Band-Aid Solution to Inflation Targeting," Staff Working Papers 97-11, Bank of Canada.
  13. Liu, Cong & Zheng, Harry, 2016. "Asymptotic analysis for target asset portfolio allocation with small transaction costs," Insurance: Mathematics and Economics, Elsevier, vol. 66(C), pages 59-68.
  14. Hassan Naqvi, 2004. "The Valuation of Corporate Debt with Default Risk," Finance 0410010, University Library of Munich, Germany.
  15. Zhiguo He & Péter Kondor, 2016. "Inefficient Investment Waves," Econometrica, Econometric Society, vol. 84, pages 735-780, March.
  16. Mayer, Simon, 2022. "Financing breakthroughs under failure risk," Journal of Financial Economics, Elsevier, vol. 144(3), pages 807-848.
  17. Yehong Yang & Guohua Cao, 2019. "Optimal Financing and Dividend Strategies with Time Inconsistency in a Regime Switching Economy," Complexity, Hindawi, vol. 2019, pages 1-11, April.
  18. Ulrich Hege & Pierre Mella-Barral, 2019. "Bond Exchange Offers or Collective Action Clauses?," Finance, Presses universitaires de Grenoble, vol. 40(3), pages 77-119.
  19. Mella-Barral, Pierre, 1996. "The dynamics of default and debt reorganization," LSE Research Online Documents on Economics 119173, London School of Economics and Political Science, LSE Library.
  20. Hanno Dihle, 2015. "Real Options in a Ramsey style Growth Model," Discussion Paper Series 32, Department of International Economic Policy, University of Freiburg, revised Dec 2015.
  21. C. Atkinson & C. A. Alexandropoulos, 2006. "Pricing a European Basket Option in the Presence of Proportional Transaction Costs," Applied Mathematical Finance, Taylor & Francis Journals, vol. 13(3), pages 191-214.
  22. Eeckhout, Jan & Weng, Xi, 2015. "Common value experimentation," Journal of Economic Theory, Elsevier, vol. 160(C), pages 317-339.
  23. Monoyios, Michael, 2004. "Option pricing with transaction costs using a Markov chain approximation," Journal of Economic Dynamics and Control, Elsevier, vol. 28(5), pages 889-913, February.
  24. Min Dai & Xavier Giroud & Wei Jiang & Neng Wang, 2020. "A q Theory of Internal Capital Markets," NBER Working Papers 27931, National Bureau of Economic Research, Inc.
  25. Stephen G. Dimmock & Neng Wang & Jinqiang Yang, 2019. "The Endowment Model and Modern Portfolio Theory," NBER Working Papers 25559, National Bureau of Economic Research, Inc.
  26. Hartman, Richard & Hendrickson, Michael, 2002. "Optimal partially reversible investment," Journal of Economic Dynamics and Control, Elsevier, vol. 26(3), pages 483-508, March.
  27. Fernando Branco & Monic Sun & J. Miguel Villas-Boas, 2012. "Optimal Search for Product Information," Management Science, INFORMS, vol. 58(11), pages 2037-2056, November.
  28. Miao, Jianjun & Zhang, Yuzhe, 2015. "A duality approach to continuous-time contracting problems with limited commitment," Journal of Economic Theory, Elsevier, vol. 159(PB), pages 929-988.
  29. Bahman Angoshtari & Erhan Bayraktar & Virginia R. Young, 2018. "Optimal Dividend Distribution Under Drawdown and Ratcheting Constraints on Dividend Rates," Papers 1806.07499, arXiv.org, revised Mar 2019.
  30. Della Seta, Marco & Morellec, Erwan & Zucchi, Francesca, 2020. "Short-term debt and incentives for risk-taking," Journal of Financial Economics, Elsevier, vol. 137(1), pages 179-203.
  31. Parro, Francisco, 2024. "Unveiling the impact of income taxes on inequality in a HACT model," Journal of Macroeconomics, Elsevier, vol. 79(C).
  32. Miao, Jianjun & Wang, Neng, 2007. "Investment, consumption, and hedging under incomplete markets," Journal of Financial Economics, Elsevier, vol. 86(3), pages 608-642, December.
  33. Franz Wirl, 2009. "Non-cooperative investment in partnerships and their termination," Central European Journal of Operations Research, Springer;Slovak Society for Operations Research;Hungarian Operational Research Society;Czech Society for Operations Research;Österr. Gesellschaft für Operations Research (ÖGOR);Slovenian Society Informatika - Section for Operational Research;Croatian Operational Research Society, vol. 17(4), pages 479-494, December.
  34. Couzoff, Panagiotis & Banerjee, Shantanu & Pawlina, Grzegorz, 2022. "Effectiveness of monitoring, managerial entrenchment, and corporate cash holdings," Journal of Corporate Finance, Elsevier, vol. 77(C).
  35. Jianjun Miao & Neng Wang, 2004. "Investment, Hedging, and Consumption Smoothing," Finance 0407014, University Library of Munich, Germany.
  36. Hugonnier, Julien & Morellec, Erwan, 2017. "Bank capital, liquid reserves, and insolvency risk," Journal of Financial Economics, Elsevier, vol. 125(2), pages 266-285.
  37. La Nauze, Andrea & Mezzetti, Claudio, 2019. "Dynamic incentive regulation of diffuse pollution," Journal of Environmental Economics and Management, Elsevier, vol. 93(C), pages 101-124.
  38. Shackleton, Mark B. & Sodal, Sigbjorn, 2005. "Smooth pasting as rate of return equalization," Economics Letters, Elsevier, vol. 89(2), pages 200-206, November.
  39. Arnold, Marc, 2014. "Managerial cash use, default, and corporate financial policies," Journal of Corporate Finance, Elsevier, vol. 27(C), pages 305-325.
  40. Bartolini, Leonardo, 1995. "Foreign investment quotas and rent extraction under uncertainty," Journal of International Economics, Elsevier, vol. 38(1-2), pages 25-49, February.
  41. Fries, Steven & Mella-Barral, Pierre & Perraudin, William, 1997. "Optimal bank reorganization and the fair pricing of deposit guarantees," Journal of Banking & Finance, Elsevier, vol. 21(4), pages 441-468, April.
  42. 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.
  43. Richard Hartman & Michael Hendrickson, 1999. "Optimal Partially Reversible Investment," Discussion Papers in Economics at the University of Washington 0032, Department of Economics at the University of Washington.
  44. Jean-Pierre Laffargue & Sanvi Avouyi-Dovi, 1992. "Anticipations stabilisatrices dans un système de serpent monétaire. Théorie et application au système monétaire européen," Revue Économique, Programme National Persée, vol. 43(6), pages 1107-1128.
  45. Baudry, Marc, 1999. "Stock externalities and the diffusion of less polluting capital: an option approach," Structural Change and Economic Dynamics, Elsevier, vol. 10(3-4), pages 395-420, December.
  46. Feng, Felix Zhiyu & Westerfield, Mark M., 2021. "Dynamic resource allocation with hidden volatility," Journal of Financial Economics, Elsevier, vol. 140(2), pages 560-581.
  47. Zwart, Gijsbert, 2021. "Optimal regulation of energy network expansion when costs are stochastic," Journal of Economic Dynamics and Control, Elsevier, vol. 126(C).
  48. Markus Hertrich, 2022. "Foreign exchange interventions under a minimum exchange rate regime and the Swiss franc," Review of International Economics, Wiley Blackwell, vol. 30(2), pages 450-489, May.
  49. Clewlow, Les & Hodges, Stewart, 1997. "Optimal delta-hedging under transactions costs," Journal of Economic Dynamics and Control, Elsevier, vol. 21(8-9), pages 1353-1376, June.
  50. Ian M. Dobbs, 2004. "Replacement Investment: Optimal Economic Life Under Uncertainty," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5‐6), pages 729-757, June.
  51. Morellec, Erwan, 2001. "Asset liquidity, capital structure, and secured debt," Journal of Financial Economics, Elsevier, vol. 61(2), pages 173-206, August.
  52. Leland, Hayne E., 1999. "Optimal Portfolio Management with Transactions Costs and Capital Gains Taxes," Research Program in Finance, Working Paper Series qt0fw6k0hm, Research Program in Finance, Institute for Business and Economic Research, UC Berkeley.
  53. Rochet, Jean-Charles & Villeneuve, Stéphane, 2011. "Liquidity management and corporate demand for hedging and insurance," Journal of Financial Intermediation, Elsevier, vol. 20(3), pages 303-323, July.
  54. Brett Green & Curtis R. Taylor, 2016. "Breakthroughs, Deadlines, and Self-Reported Progress: Contracting for Multistage Projects," American Economic Review, American Economic Association, vol. 106(12), pages 3660-3699, December.
  55. Johannes Muhle-Karbe & Max Reppen & H. Mete Soner, 2016. "A Primer on Portfolio Choice with Small Transaction Costs," Papers 1612.01302, arXiv.org, revised May 2017.
  56. Andrew B. Abel & Janice C. Eberly, 1996. "Optimal Investment with Costly Reversibility," The Review of Economic Studies, Review of Economic Studies Ltd, vol. 63(4), pages 581-593.
  57. Keller, Godfrey & Rady, Sven, 2015. "Breakdowns," Theoretical Economics, Econometric Society, vol. 10(1), January.
  58. António Portugal Duarte & João Sousa Andrade & Adelaide Duarte, 2013. "Exchange Rate Target Zones: A Survey Of The Literature," Journal of Economic Surveys, Wiley Blackwell, vol. 27(2), pages 247-268, April.
  59. Yaroslav Melnyk & Johannes Muhle‐Karbe & Frank Thomas Seifried, 2020. "Lifetime investment and consumption with recursive preferences and small transaction costs," Mathematical Finance, Wiley Blackwell, vol. 30(3), pages 1135-1167, July.
  60. Ke, T. Tony & Villas-Boas, J. Miguel, 2019. "Optimal learning before choice," Journal of Economic Theory, Elsevier, vol. 180(C), pages 383-437.
  61. Joao L. M. Amador, 1999. "Optimal budget deficit rules," Nova SBE Working Paper Series wp385, Universidade Nova de Lisboa, Nova School of Business and Economics.
  62. Stefano, Fasani, 2016. "Long-run Unemployment and Macroeconomic Volatility," Working Papers 352, University of Milano-Bicocca, Department of Economics, revised 18 Oct 2016.
  63. Jose M. Plehn-Dujowich, 2005. "The Optimality of a Control Band Policy," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 8(4), pages 877-901, October.
  64. Marc Baudry, 2000. "Joint Management of Emission Abatement and Technological Innovation for Stock Externalities," Environmental & Resource Economics, Springer;European Association of Environmental and Resource Economists, vol. 16(2), pages 161-183, June.
  65. Milne, Alistair & Robertson, Donald, 1996. "Firm behaviour under the threat of liquidation," Journal of Economic Dynamics and Control, Elsevier, vol. 20(8), pages 1427-1449, August.
  66. Malamud, Semyon & Zucchi, Francesca, 2019. "Liquidity, innovation, and endogenous growth," Journal of Financial Economics, Elsevier, vol. 132(2), pages 519-541.
  67. Bustamante, Maria Cecilia & Zucchi, Francesca, 2024. "Dynamic carbon emission management," Working Paper Series 2885, European Central Bank.
  68. Sims, Charles & Finnoff, David, 2012. "The role of spatial scale in the timing of uncertain environmental policy," Journal of Economic Dynamics and Control, Elsevier, vol. 36(3), pages 369-382.
  69. Viktors Ajevskis, 2011. "A target zone model with the terminal condition of joining a currency area," Applied Economics Letters, Taylor & Francis Journals, vol. 18(13), pages 1273-1278.
  70. Ian M. Dobbs, 2004. "Replacement Investment: Optimal Economic Life Under Uncertainty," Journal of Business Finance & Accounting, Wiley Blackwell, vol. 31(5-6), pages 729-757.
  71. Wilfling, Bernd & Maennig, Wolfgang, 2001. "Exchange rate dynamics in anticipation of time-contingent regime switching: modelling the effects of a possible delay," Journal of International Money and Finance, Elsevier, vol. 20(1), pages 91-113, February.
  72. Gan, Liu & Xia, Xin & Zhang, Hai, 2022. "Debt structure and debt overhang," Journal of Corporate Finance, Elsevier, vol. 74(C).
  73. Pawlina, Grzegorz, 2010. "Underinvestment, capital structure and strategic debt restructuring," Journal of Corporate Finance, Elsevier, vol. 16(5), pages 679-702, December.
  74. George Pennacchi & Alexei Tchistyi, 2018. "Contingent Convertibles with Stock Price Triggers: The Case of Perpetuities," 2018 Meeting Papers 331, Society for Economic Dynamics.
  75. Décamps, Jean-Paul & Villeneuve, Stéphane, 2022. "Learning about profitability and dynamic cash management," Journal of Economic Theory, Elsevier, vol. 205(C).
  76. Hiroatsu Tanaka & Naohiko Baba, 2003. "Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence," Bank of Japan Working Paper Series 03-E-2, Bank of Japan.
  77. Patrick Bolton & Hui Chen & Neng Wang, 2011. "A Unified Theory of Tobin's q, Corporate Investment, Financing, and Risk Management," Journal of Finance, American Finance Association, vol. 66(5), pages 1545-1578, October.
  78. Strebulaev, Ilya A. & Whited, Toni M., 2012. "Dynamic Models and Structural Estimation in Corporate Finance," Foundations and Trends(R) in Finance, now publishers, vol. 6(1–2), pages 1-163, November.
  79. Hui Chen & Jianjun Miao & Neng Wang, 2010. "Entrepreneurial Finance and Nondiversifiable Risk," The Review of Financial Studies, Society for Financial Studies, vol. 23(12), pages 4348-4388, December.
  80. Jaime Casassus & Pierre Collin-Dufresne & Bryan R. Routledge, 2005. "Equilibrium Commodity Prices with Irreversible Investment and Non-Linear Technology," NBER Working Papers 11864, National Bureau of Economic Research, Inc.
  81. Franz Wirl, 2008. "Reversible stopping (“switching”) implies super contact," Computational Management Science, Springer, vol. 5(4), pages 393-401, October.
  82. Patrick Bolton & Ye Li & Neng Wang & Jinqiang Yang, 2020. "Dynamic Banking and the Value of Deposits," NBER Working Papers 28298, National Bureau of Economic Research, Inc.
  83. Ye Li & Simon Mayer & Simon Mayer, 2021. "Money Creation in Decentralized Finance: A Dynamic Model of Stablecoin and Crypto Shadow Banking," CESifo Working Paper Series 9260, CESifo.
  84. Fransisco M. Ganzalez & Alok Johri, 2002. "Asymmetric Labor Adjustment, Organizational Capital and Aggregate Job Flows," Department of Economics Working Papers 2002-03, McMaster University.
  85. Décamps, Jean-Paul & Villeneuve, Stéphane, 2019. "Dynamics of cash holdings, learning about profitability, and access to the market," TSE Working Papers 19-1046, Toulouse School of Economics (TSE), revised Sep 2020.
  86. Hayne E. Leland, 1996. "Optimal Asset Rebalancing in the Presence of Transactions Costs," Finance 9610004, University Library of Munich, Germany, revised 29 Oct 1996.
  87. Abel, Andrew B. & Eberly, Janice C., 1999. "The effects of irreversibility and uncertainty on capital accumulation," Journal of Monetary Economics, Elsevier, vol. 44(3), pages 339-377, December.
  88. Pierpaolo Benigno & Luca Antonio Ricci, 2008. "The Inflation-Unemployment Trade-Off at Low Inflation," NBER Working Papers 13986, National Bureau of Economic Research, Inc.
  89. Casassus, Jaime & Collin-Dufresne, Pierre & Routledge, Bryan R., 2018. "Equilibrium commodity prices with irreversible investment and non-linear technologies," Journal of Banking & Finance, Elsevier, vol. 95(C), pages 128-147.
  90. Jean-Daniel Saphores, 2004. "Barriers and Optimal Investment," GE, Growth, Math methods 0410009, University Library of Munich, Germany.
  91. Yiannis Kamarianakis & Anastasios Xepapadeas, 2006. "Stochastic impulse control with discounted and ergodic optimization criteria: A comparative study for the control of risky holdings," Working Papers 0709, University of Crete, Department of Economics.
  92. Ali K. Ozdagli & Nicholas Trachter, 2011. "On the Distribution of College Dropouts: Wealth and Uninsurable Idiosyncratic Risk," EIEF Working Papers Series 1105, Einaudi Institute for Economics and Finance (EIEF), revised Mar 2011.
  93. Le, Duc Thuc & Jones, John Bailey, 2005. "Optimal investment with lumpy costs," Journal of Economic Dynamics and Control, Elsevier, vol. 29(7), pages 1211-1236, July.
  94. Caren Sureth, 2002. "Partially Irreversible Investment Decisions and Taxation under Uncertainty: A Real Option Approach," German Economic Review, Verein für Socialpolitik, vol. 3(2), pages 185-221, May.
  95. Kenc, Turalay & Driver, Ciaran, 2020. "Leverage, uncertainty and investment decisions," Economics Letters, Elsevier, vol. 190(C).
  96. Giovanni W. Puopolo, 2015. "Portfolio Selection with Transaction Costs and Default Risk," CSEF Working Papers 414, Centre for Studies in Economics and Finance (CSEF), University of Naples, Italy.
  97. Hertrich, Markus, 2020. "Foreign exchange interventions under a one-sided target zone regime and the Swiss franc," Discussion Papers 21/2020, Deutsche Bundesbank.
  98. Pierre Mella-Barral, 1996. "The Dynamics of Corporate Debt forgiveness and Contract Renegotiation," FMG Discussion Papers dp230, Financial Markets Group.
  99. Andrea Barth & Santiago Moreno–Bromberg & Oleg Reichmann, 2016. "A Non-stationary Model of Dividend Distribution in a Stochastic Interest-Rate Setting," Computational Economics, Springer;Society for Computational Economics, vol. 47(3), pages 447-472, March.
  100. Tserlukevich, Yuri, 2008. "Can real options explain financing behavior?," Journal of Financial Economics, Elsevier, vol. 89(2), pages 232-252, August.
  101. Liang, Xiaoqing & Young, Virginia R., 2018. "Annuitization and asset allocation under exponential utility," Insurance: Mathematics and Economics, Elsevier, vol. 79(C), pages 167-183.
  102. Philipp N. Baecker, 2007. "Real Options and Intellectual Property," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-48264-2, October.
  103. François, Pascal & Naqvi, Hassan, 2023. "Secured and unsecured debt in creditor-friendly bankruptcy," Journal of Corporate Finance, Elsevier, vol. 80(C).
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  109. Sagi, Jacob S. & Seasholes, Mark S., 2007. "Firm-specific attributes and the cross-section of momentum," Journal of Financial Economics, Elsevier, vol. 84(2), pages 389-434, May.
  110. Franz Wirl, 2008. "Optimal maintenance and scrapping versus the value of back ups," Computational Management Science, Springer, vol. 5(4), pages 379-392, October.
  111. Tanaka, Hiroatsu & Baba, Naohiko, 2004. "Optimal Timing in Trading Japanese Equity Mutual Funds: Theory and Evidence," Monetary and Economic Studies, Institute for Monetary and Economic Studies, Bank of Japan, vol. 22(1), pages 91-121, March.
  112. Yehong Yang & Guohua Cao, 2021. "Optimal investment and endogenous payout strategy with time inconsistency," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 26(1), pages 707-723, January.
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  117. Pauli Murto & Marko Terviö, 2014. "Exit Options And Dividend Policy Under Liquidity Constraints," International Economic Review, Department of Economics, University of Pennsylvania and Osaka University Institute of Social and Economic Research Association, vol. 55(1), pages 197-221, February.
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  126. Takao Kobayashi & Risa Sai, 2009. "Investment Frictions versus Financing Frictions," CARF F-Series CARF-F-153, Center for Advanced Research in Finance, Faculty of Economics, The University of Tokyo.
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  131. Pawlina, G. & Kort, P.M., 2005. "The strategic value of flexible quality choice : a real options analysis," Other publications TiSEM 8658343c-8720-4469-8e5a-c, Tilburg University, School of Economics and Management.
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  133. Kolb, Aaron M., 2019. "Strategic real options," Journal of Economic Theory, Elsevier, vol. 183(C), pages 344-383.
  134. Grenadier, Steven R. & Malenko, Andrey & Strebulaev, Ilya A., 2014. "Investment busts, reputation, and the temptation to blend in with the crowd," Journal of Financial Economics, Elsevier, vol. 111(1), pages 137-157.
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  138. Wong, Kit Pong, 2007. "The effect of uncertainty on investment timing in a real options model," Journal of Economic Dynamics and Control, Elsevier, vol. 31(7), pages 2152-2167, July.
  139. François, Pascal & Morellec, Erwan, 2008. "Closed-form solutions to stochastic process switching problems," Journal of Mathematical Economics, Elsevier, vol. 44(11), pages 1072-1083, December.
  140. Lim, Terence & Lo, Andrew W. & Merton, Robert C. & Scholes, Myron S., 2006. "The Derivatives Sourcebook," Foundations and Trends(R) in Finance, now publishers, vol. 1(5–6), pages 365-572, April.
  141. Décamps, Jean-Paul & Mariotti, Thomas & Rochet, Jean-Charles & Villeneuve, Stéphane, 2008. "Free Cash-Flow, Issuance Costs and Stock Price Volatility," IDEI Working Papers 518, Institut d'Économie Industrielle (IDEI), Toulouse.
  142. Steven Grenadier & Andrey Malenko & Ilya A. Strebulaev, 2012. "Investment Busts, Reputation, and the Temptation to Blend in with the Crowd," NBER Working Papers 17945, National Bureau of Economic Research, Inc.
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