Choice of Three Investment Projects with Fixed and Quadratic Adjustment Costs under Uncertainty


辻村元男(龍谷大学准教授)
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大阪大学 金融・保険セミナーシリーズ 第16回
Choice of Three Investment Projects with Fixed and Quadratic Adjustment Costs under Uncertainty

辻村元男(龍谷大学准教授)

This paper examines an optimal investment policy with fixed and quadratic adjustment costs. A firm has three available investment projects indexed by i (i=1,2,3). The scale of project 3 is the largest among them, and its cost is the most expensive. On the other hand, the scale of project 1 is the smallest among them, and its cost is the lowest. The scale and cost of project 2 are middle. The firm's problem is to choose project among them so as to maximize expected total discounted profit. To this end, we formulate it as an optimal stopping problem. Then, we show that which project the firm chooses and when the firm invests the project.


講 師:
辻村元男(龍谷大学准教授)
テーマ:
Choice of Three Investment Projects with Fixed and Quadratic Adjustment Costs under Uncertainty
日 時:
2008年06月27日(金)16:20-17:50
場 所:
基礎工J棟706
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無料
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