Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/82028 
Autor:innen: 
Erscheinungsjahr: 
2003
Schriftenreihe/Nr.: 
EPRU Working Paper Series No. 2003-17
Verlag: 
University of Copenhagen, Economic Policy Research Unit (EPRU), Copenhagen
Zusammenfassung: 
The real options tradition originally predicted a decreasing relationship between uncertainty and investment, through the positive effect of higher uncertainty on the trigger level for revenue relative to costs. An opposing effect on the probability of reaching the level has been identified, yielding a total effect with ambiguous sign. This paper makes three points. The “opposing” effect is not always opposing. Systematic risk cannot generally be assumed to increase with volatility. A probability is not the best measure of investment. The sign of the total effect is again ambiguous. This ambiguity is illustrated, depending on specification of model and parameters.
Schlagwörter: 
investment
uncertainty
real options
stochastic control
JEL: 
C61
D92
E22
G31
Dokumentart: 
Working Paper

Datei(en):
Datei
Größe
225.91 kB





Publikationen in EconStor sind urheberrechtlich geschützt.