Optimal regime switching under risk aversion and uncertainty
作者: Michail ChronopoulosSara Lumbreras
作者单位: 1School of Computing Engineering and Mathematics, University of Brighton, Brighton, UK
2Department of Business and Management Science, Norwegian School of Economics, Bergen, Norway
3Universidad Pontificia Comillas, Madrid, Spain
刊名: European Journal of Operational Research, 2017, Vol.256 (2), pp.543-555
来源数据库: Elsevier Journal
DOI: 10.1016/j.ejor.2016.06.027
关键词: Investment analysisReal optionsRegime switchingRisk aversionDynamic programming
原始语种摘要: Abstract(#br)Technology adoption is key for corporate strategy, often determining the success or failure of a company as a whole. However, risk aversion often raises the reluctance to make a timely technology switch, particularly when this entails the abandonment of an existing market regime and entry in a new one. Consequently, which strategy is most suitable and the optimal timing of regime switch depends not only on market factors, such as the definition of the market regimes, as well as economic and technological uncertainty, but also on attitudes towards risk. Therefore, we develop a utility-based, regime-switching framework for evaluating different technology-adoption strategies under price and technological uncertainty. We assume that a decisionmaker may invest in each technology...
全文获取路径: Elsevier  (合作)
影响因子:2.038 (2012)