Related papers: Investment Timing and Technological Breakthroughs
We study the impact of learning on the optimal policy and the time-to-decision in an infinite-horizon Bayesian sequential decision model with two irreversible alternatives, exit and expansion. In our model, a firm undertakes a small-scale…
Studies report that firms do not invest in cost-effective green technologies. While economic barriers can explain parts of the gap, behavioural aspects cause further under-valuation. This could be partly due to systematic deviations of…
A decision maker (DM) has some funds invested through two investment firms. She wishes to allocate additional funds according to the firms' earnings. The DM, on the one hand, tries to maximize the total expected earnings, while the firms,…
The claim arrival process to an insurance company is modeled by a compound Poisson process whose intensity and/or jump size distribution changes at an unobservable time with a known distribution. It is in the insurance company's interest to…
We consider an illiquid financial market with different regimes modeled by a continuous-time finite-state Markov chain. The investor can trade a stock only at the discrete arrival times of a Cox process with intensity depending on the…
Decision-changing imitation is a prevalent phenomenon in financial markets, where investors imitate others' decision-changing rates when making their own investment decisions. In this work, we study the optimal investment problem under the…
Markov automata combine non-determinism, probabilistic branching, and exponentially distributed delays. This compositional variant of continuous-time Markov decision processes is used in reliability engineering, performance evaluation and…
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout…
We present a model of a forecaster who must predict the future value of a variable that depends on an exogenous state and on the intervention of a policy-maker. We investigate the incentives of the forecaster to acquire costly private…
We study the problem of resilient strategies in the presence of uncertainty. Resilient strategies enable an agent to make decisions that are robust against disturbances. In particular, we are interested in those disturbances that are able…
Modelling all possible life cycles of a company in a highly competitive economic environment gives a significant advantage to the owner in his business investment activities. This article proposes and analyses a dynamic model of a company's…
Market confidence is essential for successful investing. By incorporating multi-market into the evolutionary minority game, we investigate the effects of investor beliefs on the evolution of collective behaviors and asset prices. When there…
The timing of strategic exit is one of the most important but difficult business decisions, especially under competition and uncertainty. Motivated by this problem, we examine a stochastic game of exit in which players are uncertain about…
This paper studies a continuous-time market where an agent, having specified an investment horizon and a targeted terminal mean return, seeks to minimize the variance of the return. The optimal portfolio of such a problem is called…
Most finance studies are discussed on the basis of several hypotheses, for example, investors rationally optimize their investment strategies. However, the hypotheses themselves are sometimes criticized. Market impacts, where trades of…
The goal of this study is to determine which strategic model, either IO or RBV, allows firms to generate the highest performance on a competitive market. Contrasting with classical studies that mobilize analyses as VARCOMP, we deploy a…
Most explanations of economic growth are based on knowledge spillovers, where the development of some technologies facilitates the enhancement of others. Empirical studies show that these spillovers can have a heterogeneous and rather…
We consider a scenario where a system experiences a disruption, and the states (representing health values) of its components continue to reduce over time, unless they are acted upon by a controller. Given this dynamical setting, we…
We study the synthesis of a policy in a Markov decision process (MDP) following which an agent reaches a target state in the MDP while minimizing its total discounted cost. The problem combines a reachability criterion with a discounted…
Designing tax policies that are effective in curbing tax evasion and maximize state revenues requires a rigorous understanding of taxpayer behavior. This work explores the problem of determining the strategy a self-interested, risk-averse…