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제목 Investment under Ambiguity and Regime-Switching(최우진, 김광문, 곽민석)
작성자 관리자 조회수 6892 작성일 2009.06.09
We consider all or nothing investment problem with a nite time horizon when the investment opportunity set is changing stochastically over time, especially under Markovian regime-switching environment, and a decision maker faces ambiguity of parameters governing pro t ow dynamics of the investment. We apply -Maxmin Expected Utility( -MEU) preferences to reect the ambiguity seeking attitude of de-cision maker and provide semi-explicit formulas for the expected value of investment and the critical present value of the pro t ow. Numerical results show that the crit-ical present value of the pro tow depends on the business cycle and the tendency of ambiguity seeking is mitigated in case of project whose pro t ow is dependent on regime-switching environment.
첨부파일 첨부파일 [최우진,김광문,곽민석].pdf