Optimal capital accumulation under price uncertainty and costly reversibility

B-Tier
Journal: Journal of Economic Dynamics and Control
Year: 2011
Volume: 35
Issue: 10
Pages: 1769-1788

Authors (1)

Alvarez, Luis H.R. (not in RePEc)

Score contribution per author:

2.011 = (α=2.01 / 1 authors) × 1.0x B-tier

α: calibrated so average coauthorship-adjusted count equals average raw count

Abstract

We consider the optimal capital accumulation policy of a competitive firm operating in the presence of decreasing returns to scale, price uncertainty, and costly reversibility of investment. We characterize the optimal accumulation policy and derive the value of the firm by focusing on the marginal investment decision and solving the associated optimal timing problem characterizing the option value of the associated opportunity to either disinvest or acquire a marginal unit of capacity. We also characterize the required exercise premia associated with the optimal policies and demonstrate that hysteresis prevails within this class of accumulation problems as well.

Technical Details

RePEc Handle
repec:eee:dyncon:v:35:y:2011:i:10:p:1769-1788
Journal Field
Macro
Author Count
1
Added to Database
2026-01-24