Irreversible investment and discounting: an arbitrage pricing approach
Irreversible investment and discounting: an arbitrage pricing approach
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不可逆投资和贴现：套利定价方法
DOI：
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发表时间：
2010
期刊：
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通讯作者：
J. Thijssen
中科院分区：
文献类型：
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作者：
J. Thijssen
本文通过将最优停止理论与资产定价中的无套利原则联系起来，提出了一种基于随机贴现因子的不确定性下投资项目估值的统一方法。推导了贴现因子和项目现金流均遵循几何布朗运动的情况下的投资阈值。获得了投资触发因素的比较静态数据，增加并澄清了不确定性投资辩论。最后，说明了获取贴现因子的两种不同方法：跨资产分析和代表性代理分析。阐明了这些不同方法的特征与最优投资政策之间的联系。
This paper presents a unified approach to valuing investment projects under uncertainty, based on stochastic discount factors, by linking optimal stopping theory to the no-arbitrage principle in asset pricing. An investment threshold for the case where the discount factor and the project’s cash-flow both follow a geometric Brownian motion is derived. Comparative statics of the investment trigger are obtained adding to and clarifying on the uncertainty–investment debate. Finally, two different ways to obtain discount factors are illustrated: spanning assets and representative agent analysis. The link between the characteristics of these different approaches and the optimal investment policy is clarified.