A Knightian irreversible investment problem
Sign Up to like & getrecommendations! Published in 2022 at "Journal of Mathematical Analysis and Applications"
DOI: 10.1016/j.jmaa.2021.125744
Abstract: In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the… read more here.
Keywords: problem knightian; investment; investment problem; knightian uncertainty ... See more keywords
Optimal investment problem with complete memory on an infinite time horizon
Sign Up to like & getrecommendations! Published in 2019 at "Communications in Statistics - Theory and Methods"
DOI: 10.1080/03610926.2019.1640877
Abstract: Abstract This paper deals with an optimal investment problem with complete memory over an infinite time horizon, where the appreciation rate of the risky asset depends on the historical information and the wealth process is… read more here.
Keywords: complete memory; investment; investment problem; problem complete ... See more keywords