Valuing an investment project using no-arbitrage and the alpha-maxmin criteria: From Knightian uncertainty to risk

C-Tier
Journal: Economics Letters
Year: 2019
Volume: 178
Issue: C
Pages: 111-115

Authors (2)

Score contribution per author:

0.503 = (α=2.01 / 2 authors) × 0.5x C-tier

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

Abstract

We consider a two-period irreversible investment decision problem in which the firm can either invest in period 0 or in period 1. The firm is assumed to be able to specify a set of three scenarios or more but not a probability measure. Assuming the option to wait is valued with the no-arbitrage principle, when the firm makes use of the criteria α-maxmin, we show the firm ends up with a known probability measure that assigns a positive probability to three or four scenarios only.

Technical Details

RePEc Handle
repec:eee:ecolet:v:178:y:2019:i:c:p:111-115
Journal Field
General
Author Count
2
Added to Database
2026-01-25