Optimal investment with time-varying transition probabilities for regime switching

Optimal investment with time-varying transition probabilities for regime switching

Abstract – This study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is optimal for an investor to invest when project cash flows exceed a certain threshold. This study presents other results that refine or extend this one by integrating timing flexib...

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Bibliographic Details
Main Authors: Hyo-Chan Lee, Seyoung Park, Jong Mun Yoon
Format: Article
Language:English
Published: Emerald Publishing 2021-06-01
Series:Seonmul yeongu
Subjects:
optimal investment
time-varying transition probabilities
regime switching
cash flows
option
Online Access:https://www.emerald.com/insight/content/doi/10.1108/JDQS-12-2020-0032/full/pdf?title=optimal-investment-with-time-varying-transition-probabilities-for-regime-switching

Internet

https://www.emerald.com/insight/content/doi/10.1108/JDQS-12-2020-0032/full/pdf?title=optimal-investment-with-time-varying-transition-probabilities-for-regime-switching

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