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hal.structure.identifier
dc.contributor.authorAïd, René*
hal.structure.identifierUniversité de Milan
dc.contributor.authorFederico, Salvatore*
hal.structure.identifierUniversité Paris Diderot, Sorbonne Paris Cité, Paris, France
dc.contributor.authorPham, Huyên*
hal.structure.identifier
dc.contributor.authorVilleneuve, Bertrand
HAL ID: 745441
ORCID: 0000-0001-7485-9262
*
dc.date.accessioned2014-11-25T09:12:56Z
dc.date.available2014-11-25T09:12:56Z
dc.date.issued2015-02
dc.identifier.urihttps://basepub.dauphine.fr/handle/123456789/14292
dc.language.isoenen
dc.subjectOptimal capacityen
dc.subjectIrreversible investmentsen
dc.subjectSingular stochastic controlen
dc.subjectTime-to-builden
dc.subjectDelay equationsen
dc.subject.ddc339en
dc.subject.classificationjelC61en
dc.subject.classificationjelD92en
dc.subject.classificationjelE22en
dc.titleExplicit investment rules with time-to-build and uncertaintyen
dc.typeArticle accepté pour publication ou publié
dc.contributor.editoruniversityotherUniversità degli Studi di Milano;Italie
dc.contributor.editoruniversityotherLPMA, Université Paris-Diderot;France
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 ratesen
dc.relation.isversionofjnlnameJournal of Economic Dynamics and Control
dc.relation.isversionofjnlvol51en
dc.relation.isversionofjnldate2015-01
dc.relation.isversionofjnlpages240–256en
dc.relation.isversionofdoihttp://dx.doi.org/10.1016/j.jedc.2014.10.010en
dc.identifier.urlsitehttps://hal.archives-ouvertes.fr/ccsd-00997994/
dc.relation.isversionofjnlpublisherElsevieren
dc.subject.ddclabelMacroéconomieen
dc.relation.forthcomingnonen
dc.description.halcandidateoui
hal.author.functionaut
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