Related papers: Investment Timing and Technological Breakthroughs
This paper analyzes the connection between innovation activities of companies -- implemented before a financial crisis -- and their performance -- measured after such a time of crisis. Pertinent data about companies listed in the STAR…
Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expansion as an enlargement of the opportunity set for business…
Technology adoption research aims to determine the reasons why and how individuals, corporations, and industries start using new technology. Furthermore, technology adoption itself is decomposed into underlying sub-processes which are…
This paper examines an optimal investment problem in a continuous-time (essentially) complete financial market with a finite horizon. We deal with an investor who behaves consistently with principles of Cumulative Prospect Theory, and whose…
Accelerating climate-tech innovation in the formative stage of the technology life cycle is crucial to meeting climate policy goals. During this period, competing technologies are often undergoing major technical improvements within a…
We study a practical optimization problems for venture capital investments and/or Research and Development (R&D) investments. The first problem is that, given the amount of the initial investment and the reward function at the initial…
Default risk significantly affects the corporate policies of a firm. We develop a model in which a limited liability entity subject to Poisson default shock jointly sets its dividend policy and capital structure to maximize the expected…
We study the problem of optimal long term portfolio selection with a view to beat a benchmark. Two kinds of objectives are considered. One concerns the probability of outperforming the benchmark and seeks either to minimise the decay rate…
Controllable Markov chains describe the dynamics of sequential decision making tasks and are the central component in optimal control and reinforcement learning. In this work, we give the general form of an optimal policy for learning…
The energy and material processing industries are traditionally characterized by very large-scale physical capital that is custom-built with long lead times and long lifetimes. However, recent technological advancement in low-cost…
The main objective of this paper is to develop a martingale-type solution to optimal consumption--investment choice problems ([Merton, 1969] and [Merton, 1971]) under time-varying incomplete preferences driven by externalities such as…
In this paper we study the optimal investment and reinsurance problem of an insurance company whose investment preferences are described via a forward dynamic exponential utility in a regime-switching market model. Financial and actuarial…
The optimal (`equilibrium') macroscopic properties of an economy with $N$ industries endowed with different technologies, $P$ commodities and one consumer are derived in the limit $N\to\infty$ with $n=N/P$ fixed using the replica method.…
This article considers the average optimality for a continuous-time Markov decision process with Borel state and action spaces and an arbitrarily unbounded nonnegative cost rate. The existence of a deterministic stationary optimal policy is…
Agents exert hidden effort to produce randomly-sized innovations in a technology they share. Flow payoffs grow as the technology develops, but so does the marginal cost of effort. I characterise the unique symmetric MPE with the quality of…
We provide a model of investment in innovation that is dynamic, features multiple heterogeneous research projects of which only one potentially leads to success, and in each period, the researcher chooses the set of projects to invest in.…
With the simultaneous rise of energy costs and demand for cloud computing, efficient control of data centers becomes crucial. In the data center control problem, one needs to plan at every time step how many servers to switch on or off in…
Despite dramatic growth and cost improvements in renewables, existing energy companies exhibit significant inertia in adapting to the evolving technological landscape. This study examines technology transition patterns by analyzing over…
When undertaking cyber security risk assessments, we must assign numeric values to metrics to compute the final expected loss that represents the risk that an organization is exposed to due to cyber threats. Even if risk assessment is…
I characterize optimal government policy in a sticky-price economy with different types of consumers and endogenous financial constraints in the banking and entrepreneurial sectors. The competitive equilibrium allocation is constrained…