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Journal articles
Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: From Knightian uncertainty to risk
Abstract : We consider a two-period irreversible investment decision problem in which the firm can either invest in period 0 or in period 1. The firm is assumed to be able to specify a set of three scenarios or more but not a probability measure. Assuming the option to wait is valued with the no-arbitrage principle, when the firm makes use of the criteria α-maxmin, we show the firm ends up with a known probability measure that assigns a positive probability to three or four scenarios only.
https://hal.archives-ouvertes.fr/hal-02504260
Contributor : Isabelle Celet <>
Submitted on : Tuesday, March 10, 2020 - 3:43:12 PM
Last modification on : Wednesday, October 14, 2020 - 4:13:48 AM
Contributor : Isabelle Celet <>
Submitted on : Tuesday, March 10, 2020 - 3:43:12 PM
Last modification on : Wednesday, October 14, 2020 - 4:13:48 AM
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