Investment Horizon to Investment Decision and Mean Reversion: Indonesian Perspective

Strategic Investment Decisions under Fast Mean-Reversion Stochastic Volatility

We are concerned with investment decisions when the spanning asset that correlates with the investment value undergoes a stochastic volatility dynamics. The project value in this case corresponds to the value of an American call with dividends, which can be priced by solving a generalized Black-Scholes free boundary value problem. Following ideas of Fouque et al., under the hypothesis of fast m...

Irreversible investment with Cox-Ingersoll-Ross type mean reversion

We solve a Dixit and Pindyck type irreversible investment problem in continuous time under the assumption that the project value follows a Cox–Ingersoll–Ross process. This setup works well for modeling foreign direct investment in the framework of real options, when the exchange rate is uncertain and the project value fixed in a foreign currency. We indicate how the solution qualitatively diffe...

Investment Horizon Effects

Boudry and Gray (2003) have documented that the optimal buy-and-hold demand for Australian stocks is not necessarily increasing in the investment horizon when returns are predictable. Such finding is in contrast with Barberis (2000) who shows that positive monotonic horizon effects predominate for US stocks. Using a closed-form approximation to the asset allocation problem, this paper relates t...

Multimodal Infrastructure Investment Decision Making: An Institutional and Funding Perspective

Fuzzy Investment Decision Making

Recent literature on fuzzy numbers is rich of several approaches to approximate operations between fuzzy numbers. The desirable feature is to preserve the real shape of the fuzzy numbers resulting from the operations, without loosing in simplicity and applicability and in goodness of the approximations. In some recent papers we introduce a representation of the fuzzy numbers, based on the use o...