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Investment Under Uncertainty: Theory and Applications

不确定性下的投资：理论与应用

基本信息

批准号：
9121490
负责人：
Avinash Dixit
金额：
$ 16.88万
依托单位：
Princeton University
依托单位国家：
美国
项目类别：
Continuing Grant
财政年份：
1992
资助国家：
美国
起止时间：
1992-03-01 至 1995-08-31
项目状态：
已结题

来源：
https://www.nsf.gov/awardsearch/showAward?AWD_ID=9121490&HistoricalAwards=false
关键词：
Investment Under Uncertainty Theory Applications

项目摘要

Recent research on investment decisions under uncertainty has highlighted the importance of option values, or of waiting to resolve some uncertainty and gather more information. This work is mostly restricted to "classical" economic environments, with perfect risk markets and without economies of scale or externalities. This project extends the analysis to "non- classical" settings, using corresponding extensions of techniques of stochastic optimal control. The more general theory will then be applied to some important policy issues. Examples include the following. (1) Criteria for investment under uncertainty with scale economies and externalities will be developed, built into a model of industry evolution, and linked to the new theory of growth. (2) Since labor income risk is hard or impossible to diversify, trade adjustment, and more generally job losses due to plant closure, alter risk- bearing. The issue, and appropriate policies, will be modelled. (3) Real rigidities of slow adjustment will be combined with nominal inertia into macroeconomic models of employment fluctuations. (4) When evaluating new technologies to reduce environmental damage, the value of waiting to gather more information must be traded off against the risk of irreversible damage while we wait. This will be formulated as a stochastic control problem with filtering.

最近关于不确定性下投资决策的研究强调了选择价值的重要性，或者等待解决一些不确定性并收集更多信息。这项工作主要局限于“古典”经济环境，完美的风险市场，没有规模经济，外部性该项目将分析扩展到“非经典”设置，使用相应的技术扩展随机最优控制更一般的理论将适用于一些重要的政策问题。例子包括以下. (1)具有规模经济的不确定投资准则和外部性将被开发，构建成一个工业模型进化论，并与新的增长理论相联系。 (2)由于劳动力收入风险很难或不可能分散，贸易调整，更普遍的是，由于工厂关闭而造成的失业，改变了风险- 轴承这个问题和适当的政策将被模拟。 (3)缓慢调整的真实的僵化将与宏观经济就业模型的名义惯性波动 (4)在评估新技术以减少环境破坏，等待收集更多的价值信息必须与不可逆转的风险进行权衡，在我们等待的时候损坏。这将被公式化为一个随机过滤控制问题。