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hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorAïd, René
hal.structure.identifierLaboratoire de Probabilités et Modèles Aléatoires [LPMA]
dc.contributor.authorFederico, Salvatore
hal.structure.identifierLaboratoire de Probabilités et Modèles Aléatoires [LPMA]
dc.contributor.authorPham, Huyên
hal.structure.identifierLaboratoire d'Economie de Dauphine [LEDa]
dc.contributor.authorVilleneuve, Bertrand
HAL ID: 745441
ORCID: 0000-0001-7485-9262
dc.date.accessioned2019-09-23T12:06:45Z
dc.date.available2019-09-23T12:06:45Z
dc.date.issued2015
dc.identifier.issn0165-1889
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/19893
dc.language.isoenen
dc.subjectOptimal capacityen
dc.subjectIrreversible investmentsen
dc.subjectSingular stochastic controlen
dc.subjectTime-to-builden
dc.subjectDelay equationsen
dc.subject.ddc330.1en
dc.subject.classificationjelE.E2.E22en
dc.subject.classificationjelD.D9.D92en
dc.subject.classificationjelC.C6.C61en
dc.titleExplicit investment rules with time to built and uncertaintyen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversità degli Studi di Milano;Italy
dc.description.abstractenWe establish explicit socially optimal rules for an irreversible investment decision with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic interpretations for three models of demand (arithmetic Brownian, geometric Brownian, and the Cox–Ingersoll–Ross). Committed capacity, that is, the installed capacity plus the investment in the pipeline, must never drop below the best predictor of future demand, minus two biases. The discounting bias takes into account the fact that investment is paid upfront for future use; the precautionary bias multiplies a type of risk aversion index by the local volatility. Relying on the analytical forms, we discuss in detail the economic effects. For example, the impact of volatility on the optimal investment is negligible in some cases. It vanishes in the CIR model for long delays, and in the GBM model for high discount rates.en
dc.relation.isversionofjnlnameJournal of Economic Dynamics & Control
dc.relation.isversionofjnlvol51en
dc.relation.isversionofjnldate2015
dc.relation.isversionofjnlpages240-256en
dc.relation.isversionofdoi10.1016/j.jedc.2014.10.010en
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelThéorie économiqueen
dc.relation.forthcomingnonen
dc.relation.forthcomingprintnonen
dc.description.ssrncandidatenonen
dc.description.halcandidateouien
dc.description.readershiprechercheen
dc.description.audienceInternationalen
dc.relation.Isversionofjnlpeerreviewedouien
dc.relation.Isversionofjnlpeerreviewedouien
dc.date.updated2019-09-23T08:55:40Z
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