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research article
Noisy information and investment decisions: A Note
1999
This paper analyses investment decisions under uncertainty with noisy information. We provide closed-form solutions for the value of the investment policy and the optimal investment threshold. We show that when the information about the decision variable is noisy, the real option values generated by the model are close to that observed in reality. Noise is modelled with a mean-reverting stationnary process.
Type
research article
Authors
Publication date
1999
Published in
Volume
20
Start page
201
End page
209
Peer reviewed
REVIEWED
EPFL units
Available on Infoscience
August 14, 2013
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