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- W563334892 abstract "1. Introduction.- 1.1 Uncertainty and Risk Aversion.- 1.2 Methods and Organization.- 2. The Monotonicity of Transition Probabilities.- 2.1 Sufficient Statistics.- 2.1.1 Sufficient Statistics for One-parameter Exponential Families.- 2.2 Posterior Distributions and Transition Probabilities.- 2.2.1 Definitions and Basic Properties.- 2.2.2 Monotone Transition Probabilities.- 2.2.3 Conjugate Prior Distributions.- 3. Dynamic Portfolio Models under Uncertainty.- 3.1 Classic Dynamic Portfolio Models.- 3.1.1 Risk Preferences.- 3.1.2 Classic Dynamic Portfolio Models under Risk.- 3.1.2.1 Assumptions.- 3.1.2.2 The Optimal Investment Policy and its Properties.- 3.1.2.3 Extended Versions of the Basic Model.- 3.1.3 Classic Dynamic Portfolio Models under Uncertainty.- 3.2 Binary Dynamic Portfolio Models under Uncertainty.- 3.2.1 The Return Distribution of the Risky Asset.- 3.2.2 The Stochastic Dynamic Program.- 3.2.2.1 Assumptions.- 3.2.2.2 Fundamental Properties.- 3.2.3 Properties of the Optimal Investment Policy.- 3.2.3.1 The Stopping Rule.- 3.2.3.2 The Monotonicity Property.- 3.2.3.3 The Stay-on-a-Winner-Property.- 3.2.4 Remarks on the Implementation of the Model.- 3.2.5 Sensitivity Analyses.- 3.2.5.1 An Algorithm for the Two-Point Return Distribution.- 3.2.5.2 Variation of the Utility Function.- 3.2.5.3 Variation of the Prior Distribution.- 3.2.5.4 Variation of the Planning Horizon.- 3.2.6 Conclusions.- 4. The Optimal Timing of Investment.- 4.1 Investment Decisions and the Economic Life of Projects.- 4.2 A Deterministic Model in Continuous Time.- 4.2.1 Net Cash Flows Independent of Project Age.- 4.2.2 Optimal Timing of Investment and Interest Rate.- 4.3 Investment Models under Conditions of Risk.- 4.3.1 Assumptions and the Optimal Investment Policy.- 4.3.2 A Survey of Already Known Models.- 4.3.3 Sensitivity Analyses and an Algorithm.- 4.4 Investment Models under Conditions of Uncertainty.- 4.4.1 The Influence of Uncertainty: An Example.- 4.4.2 The Explicit Formulation of Uncertainty.- 4.4.3 The Description as Binary Stopping Decision Model.- 4.4.4 Properties of the Optimal Investment Policy.- 4.4.5 The Comparison with Known Models.- 4.4.6 Sensitivity Analyses.- 4.4.6.1 Variation of the Capital Cost.- 4.4.6.2 Variation of the Riskless Interest Rate.- 4.4.6.3 Variation of the Planning Horizon.- 4.4.6.4 Variation of the Prior Distributions.- 4.4.6.5 The Certainty Equivalence Policy.- 4.4.7 The Optimal Exercise Date of an American Call Option.- 5. Concluding Remarks.- References." @default.
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- W563334892 date "1988-09-12" @default.
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- W563334892 title "Sequential Binary Investment Decisions: A Bayesian Approach" @default.
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