Investment Timing Under Regime Switching
Investment Timing Under Regime Switching
复制标题
制度切换下的投资时机
DOI：
10.2139/ssrn.963962
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发表时间：
2007
期刊：
影响因子：
--
通讯作者：
Yu Jin
中科院分区：
文献类型：
--
作者：
R. Elliott;Hong Miao;Yu Jin
我们在真实的期权框架下研究了最优投资时机策略。根据经济状况，其变化由马尔可夫链建模，投资成本可以取两个值之一。通过求解永久美式期权的自由边界来确定最优投资时机决策。基于对投资者信息集合的不同假设，确定并比较了三种投资时机选择策略。在完全信息的情况下，一个显着更早的最佳行使时间被指示。我们发现，传统的真实的期权模型建议的最优时机政策可能会破坏投资机会。
We investigate the optimal investment timing strategy in a real option framework. Depending on the state of the economy, whose changes are modeled by a Markov chain, the investment cost can take one of two values. The optimal investment timing decision is determined by finding the free boundary of a perpetual American option. Three investment timing policies, based on different assumptions of investors' information sets, are determined and compared. In the full information case, a significantly earlier optimal exercising time is indicated. We show that an optimal-timing policy suggested by the conventional real option model might ruin the investment opportunities.