{"title":"稳健的投资决策和等待投资的价值","authors":"Christian Riis Flor, Søren Hesel","doi":"10.2139/ssrn.1928403","DOIUrl":null,"url":null,"abstract":"We solve a firm’s investment problem when there is uncertainty about the growth rate of the project value and the investment cost, and the firm is ambiguity averse. We use a robust method to take this into account and provide explicit solution to the value of the option to invest. Ambiguity aversion decreases the investment threshold and volatility increases the impact of ambiguity aversion. We show that correlation between the project and the investment costs have a significant effect to ambiguity. Hence, ambiguity aversion is an important aspect to take into account when the firm considers its investment strategy.","PeriodicalId":307682,"journal":{"name":"Midwest Finance Association 2012 Annual Meeting (Archive)","volume":"1 1","pages":"0"},"PeriodicalIF":0.0000,"publicationDate":"2011-08-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":"6","resultStr":"{\"title\":\"Robust Investment Decisions and the Value of Waiting to Invest\",\"authors\":\"Christian Riis Flor, Søren Hesel\",\"doi\":\"10.2139/ssrn.1928403\",\"DOIUrl\":null,\"url\":null,\"abstract\":\"We solve a firm’s investment problem when there is uncertainty about the growth rate of the project value and the investment cost, and the firm is ambiguity averse. We use a robust method to take this into account and provide explicit solution to the value of the option to invest. Ambiguity aversion decreases the investment threshold and volatility increases the impact of ambiguity aversion. We show that correlation between the project and the investment costs have a significant effect to ambiguity. Hence, ambiguity aversion is an important aspect to take into account when the firm considers its investment strategy.\",\"PeriodicalId\":307682,\"journal\":{\"name\":\"Midwest Finance Association 2012 Annual Meeting (Archive)\",\"volume\":\"1 1\",\"pages\":\"0\"},\"PeriodicalIF\":0.0000,\"publicationDate\":\"2011-08-01\",\"publicationTypes\":\"Journal Article\",\"fieldsOfStudy\":null,\"isOpenAccess\":false,\"openAccessPdf\":\"\",\"citationCount\":\"6\",\"resultStr\":null,\"platform\":\"Semanticscholar\",\"paperid\":null,\"PeriodicalName\":\"Midwest Finance Association 2012 Annual Meeting (Archive)\",\"FirstCategoryId\":\"1085\",\"ListUrlMain\":\"https://doi.org/10.2139/ssrn.1928403\",\"RegionNum\":0,\"RegionCategory\":null,\"ArticlePicture\":[],\"TitleCN\":null,\"AbstractTextCN\":null,\"PMCID\":null,\"EPubDate\":\"\",\"PubModel\":\"\",\"JCR\":\"\",\"JCRName\":\"\",\"Score\":null,\"Total\":0}","platform":"Semanticscholar","paperid":null,"PeriodicalName":"Midwest Finance Association 2012 Annual Meeting (Archive)","FirstCategoryId":"1085","ListUrlMain":"https://doi.org/10.2139/ssrn.1928403","RegionNum":0,"RegionCategory":null,"ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":null,"EPubDate":"","PubModel":"","JCR":"","JCRName":"","Score":null,"Total":0}
Robust Investment Decisions and the Value of Waiting to Invest
We solve a firm’s investment problem when there is uncertainty about the growth rate of the project value and the investment cost, and the firm is ambiguity averse. We use a robust method to take this into account and provide explicit solution to the value of the option to invest. Ambiguity aversion decreases the investment threshold and volatility increases the impact of ambiguity aversion. We show that correlation between the project and the investment costs have a significant effect to ambiguity. Hence, ambiguity aversion is an important aspect to take into account when the firm considers its investment strategy.
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