Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/119543 
Autor:innen: 
Erscheinungsjahr: 
2014
Schriftenreihe/Nr.: 
Memorandum No. 25/2014
Verlag: 
University of Oslo, Department of Economics, Oslo
Zusammenfassung: 
A risk-neutral agent optimizes extraction of dividends or renewable natural resources modelled by a jump-diffusion stock process, where the optimal strategy is characterized as the minimal intervention required to keep the stock process inside a given region. The introduction of a small fixed cost per intervention, is shown to induce a loss at worst of order Kappa2/3, corresponding to a minimal intervention size of order Kappa1/3, under suitable conditions; there are degenerate cases if purely discontinuous harvesting is optimal for the frictionless problem. If extraction is reversible, at cost between half and twice the extraction cost, the exponents are 1/2 and 1/4, agreeing with the effect of fixed costs in a consumption-portfolio optimization problem for a risk-averse agent.
Schlagwörter: 
optimal stochastic control
resource extraction
dividend extraction
jump-diffusion model
transaction costs
JEL: 
Q20
D23
G11
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
641.34 kB





Publikationen in EconStor sind urheberrechtlich geschützt.