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  • Produktbild: Sequential Binary Investment Decisions
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Band 313

Sequential Binary Investment Decisions A Bayesian Approach

Aus der Reihe Lecture Notes in Economics and Mathematical Systems

Fr. 137.00

inkl. gesetzl. MwSt., Versandkostenfrei

Beschreibung

Produktdetails

Einband

Taschenbuch

Erscheinungsdatum

27.07.1988

Verlag

Springer Berlin

Seitenzahl

156

Maße (L/B/H)

24.4/17/0.9 cm

Gewicht

302 g

Auflage

Softcover reprint of the original 1st ed. 1988

Sprache

Englisch

ISBN

978-3-540-50034-6

Beschreibung

Produktdetails

Einband

Taschenbuch

Erscheinungsdatum

27.07.1988

Verlag

Springer Berlin

Seitenzahl

156

Maße (L/B/H)

24.4/17/0.9 cm

Gewicht

302 g

Auflage

Softcover reprint of the original 1st ed. 1988

Sprache

Englisch

ISBN

978-3-540-50034-6

Herstelleradresse

Springer-Verlag KG
Sachsenplatz 4-6
1201 Wien
AT

Email: GPSR Kontakt

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  • Produktbild: Sequential Binary Investment Decisions
  • Produktbild: Sequential Binary Investment Decisions
  • 1. Introduction.- 1.1 Uncertainty and Risk Aversion.- 1.2 Methods and Organization.- 2. The Monotonicity of Transition Probabilities.- 2.1 Sufficient Statistics.- 2.1.1 Sufficient Statistics for One-parameter Exponential Families.- 2.2 Posterior Distributions and Transition Probabilities.- 2.2.1 Definitions and Basic Properties.- 2.2.2 Monotone Transition Probabilities.- 2.2.3 Conjugate Prior Distributions.- 3. Dynamic Portfolio Models under Uncertainty.- 3.1 Classic Dynamic Portfolio Models.- 3.1.1 Risk Preferences.- 3.1.2 Classic Dynamic Portfolio Models under Risk.- 3.1.2.1 Assumptions.- 3.1.2.2 The Optimal Investment Policy and its Properties.- 3.1.2.3 Extended Versions of the Basic Model.- 3.1.3 Classic Dynamic Portfolio Models under Uncertainty.- 3.2 Binary Dynamic Portfolio Models under Uncertainty.- 3.2.1 The Return Distribution of the Risky Asset.- 3.2.2 The Stochastic Dynamic Program.- 3.2.2.1 Assumptions.- 3.2.2.2 Fundamental Properties.- 3.2.3 Properties of the Optimal Investment Policy.- 3.2.3.1 The Stopping Rule.- 3.2.3.2 The Monotonicity Property.- 3.2.3.3 The Stay-on-a-Winner-Property.- 3.2.4 Remarks on the Implementation of the Model.- 3.2.5 Sensitivity Analyses.- 3.2.5.1 An Algorithm for the Two-Point Return Distribution.- 3.2.5.2 Variation of the Utility Function.- 3.2.5.3 Variation of the Prior Distribution.- 3.2.5.4 Variation of the Planning Horizon.- 3.2.6 Conclusions.- 4. The Optimal Timing of Investment.- 4.1 Investment Decisions and the Economic Life of Projects.- 4.2 A Deterministic Model in Continuous Time.- 4.2.1 Net Cash Flows Independent of Project Age.- 4.2.2 Optimal Timing of Investment and Interest Rate.- 4.3 Investment Models under Conditions of Risk.- 4.3.1 Assumptions and the Optimal Investment Policy.- 4.3.2 A Survey of Already Known Models.- 4.3.3 Sensitivity Analyses and an Algorithm.- 4.4 Investment Models under Conditions of Uncertainty.- 4.4.1 The Influence of Uncertainty: An Example.- 4.4.2 The Explicit Formulation of Uncertainty.- 4.4.3 The Description as Binary Stopping Decision Model.- 4.4.4 Properties of the Optimal Investment Policy.- 4.4.5 The Comparison with Known Models.- 4.4.6 Sensitivity Analyses.- 4.4.6.1 Variation of the Capital Cost.- 4.4.6.2 Variation of the Riskless Interest Rate.- 4.4.6.3 Variation of the Planning Horizon.- 4.4.6.4 Variation of the Prior Distributions.- 4.4.6.5 The Certainty Equivalence Policy.- 4.4.7 The Optimal Exercise Date of an American Call Option.- 5. Concluding Remarks.- References.