英文标题：
《Explicit investment rules with time-to-build and uncertainty》
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作者：
Ren\\\'e Aid, Salvatore Federico, Huy\\^en Pham, Bertrand Villeneuve
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最新提交年份：
2014
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英文摘要：
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic interpreta- tions for three models of demand (arithmetic Brownian, geometric Brownian, and the Cox-Ingersoll-Ross). Committed capacity, that is, the installed capacity plus the in- vestment in the pipeline, must never drop below the best predictor of future demand, minus two biases. The discounting bias takes into account the fact that investment is paid upfront for future use; the precautionary bias multiplies a type of risk aversion index by the local volatility. Relying on the analytical forms, we discuss in detail the economic effects.
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中文摘要：
我们为具有建设时间和不确定性的不可逆投资决策建立了明确的社会最优规则。假设具有随机截距的价格敏感需求函数，我们为三种需求模型（算术布朗、几何布朗和Cox-Ingersoll-Ross）提供了比较静态和经济解释。承诺产能，即装机容量加上管道投资，决不能低于未来需求的最佳预测值减去两个偏差。贴现偏差考虑到投资是为未来使用而预先支付的事实；预防性偏差将一种风险规避指数乘以局部波动率。根据分析表格，我们详细讨论了经济效应。
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分类信息：

一级分类：Quantitative Finance 数量金融学
二级分类：Mathematical Finance 数学金融学
分类描述：Mathematical and analytical methods of finance, including stochastic, probabilistic and functional analysis, algebraic, geometric and other methods
金融的数学和分析方法，包括随机、概率和泛函分析、代数、几何和其他方法
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