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research article

Noisy information and investment decisions: A Note

Gauthier, Laurent
•
Morellec, Erwan  
1999
Finance

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.

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Type
research article
DOI
10.2139/ssrn.113189
Author(s)
Gauthier, Laurent
Morellec, Erwan  
Date Issued

1999

Published in
Finance
Volume

20

Start page

201

End page

209

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
SFI-EM  
Available on Infoscience
August 14, 2013
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/94140
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