Examining the Uncertainty-Investment Relationship under Alternative Stochastic Processes

Abstract

This paper argues that increased uncertainty, in certain situations, may actually encourage investment. Since earlier studies mostly base their arguments on the assumption of geometric Brownian motion, the study extends the assumption to a mean-reverting process. A general approach of Monte Carlo simulation is developed to derive optimal investment trigger… (More)

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@article{Wang2010ExaminingTU, title={Examining the Uncertainty-Investment Relationship under Alternative Stochastic Processes}, author={George Yungchih Wang}, journal={2010 Third International Conference on Business Intelligence and Financial Engineering}, year={2010}, pages={369-375} }