Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
5099574 | Journal of Economic Dynamics and Control | 2007 | 8 Pages |
Abstract
For risk-neutral investors, we show that uncertainty can favor investment only if projects devaluate over time. This conclusion does not hold in a CAPM framework, where we demonstrate that the relationship uncertainty/investment can be positive (a) even when the investment threshold increases with uncertainty and (b) in the case of projects negatively correlated with the market portfolio.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Control and Optimization
Authors
Ãscar Gutiérrez,