Optimal investment with time-varying transition probabilities for regime switching

This study aims to generalize the following result of McDonald and Siegel (1986) on optimal investment: it is optimal for an investor to invest when project cash flows exceed a certain threshold. This study presents other results that refine or extend this one by integrating timing flexibility and c...

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Veröffentlicht in:	선물연구 2021-06, Vol.29 (2), p.102
Hauptverfasser:	Hyo-chan Lee, Seyoung Park, Jong Mun Yoon
Format:	Artikel
Sprache:	kor
Schlagworte:	Cash flows Optimal investment Option Regime switching Time-varying transition probabilities
Online-Zugang:	Volltext
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