ID | 61067 |
フルテキストURL | |
著者 |
Osaki, Yusuke
Faculty of Commerce, Waseda University
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抄録 | This paper analyzes the behavior of a firm facing an ambiguous technology shock and the effects of the attitude toward ambiguity on optimal capital investment using the smooth ambiguity model of Klibanoffet al. (2005). Although it seems intuitive that an increase in ambiguity aversion always reduces the optimal capital investment, this is not necessarily true because the shape of the production function plays a key role in determining the effect. Under some conditions, we show that the optimal amount of capital investment increases (decreases) in ambiguity aversion if the production function is substitute (complement), and that this result is counterintuitive when the production function is substitute. Furthermore, our main results hold if we assume the alpha-maxmin preferences in Ghirardato et al. (2004).
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キーワード | Decision analysis
Investment analysis
Capital investment
Smooth ambiguity model
Technology shock
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備考 | © 2020 Elsevier B.V. This manuscript version is made available under the CC-BY-NC-ND 4.0 License. http://creativecommons.org/licenses/by-nc-nd/4.0/.
This is the accepted manuscript version. The formal published version is available at [https://doi.org/10.1016/j.ejor.2020.11.047] .
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発行日 | 2020-12-05
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出版物タイトル |
European Journal of Operational Research
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巻 | 293巻
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号 | 1号
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出版者 | Elsevier
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開始ページ | 304
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終了ページ | 311
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ISSN | 03772217
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NCID | AA0017802X
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資料タイプ |
学術雑誌論文
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言語 |
英語
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OAI-PMH Set |
岡山大学
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論文のバージョン | author
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DOI | |
Web of Science KeyUT | |
関連URL | isVersionOf https://doi.org/10.1016/j.ejor.2020.11.047
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ライセンス | http://creativecommons.org/licenses/by-nc-nd/4.0/
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Citation | Takao Asano, Yusuke Osaki, Optimal investment under ambiguous technology shocks, European Journal of Operational Research, Volume 293, Issue 1, 2021, Pages 304-311, ISSN 0377-2217, https://doi.org/10.1016/j.ejor.2020.11.047.
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助成機関名 |
日本学術振興会
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助成番号 | 20K01745
17K03806
20H01507
26705004
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オープンアクセス(出版社) |
非OA
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オープンアーカイブ(出版社) |
非OpenArchive
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