Werner Jammernegg

Sequential Binary Investment Decisions

A Bayesian Approach

• Broschiertes Buch

Produktbeschreibung

This book describes some models from the theory of investment which are mainly characterized by three features. Firstly, the decision-maker acts in a dynamic environment. Secondly, the distributions of the random variables are only incompletely known at the beginning of the planning process. This is termed as decision-making under conditions of uncer tainty. Thirdly, in large parts of the work we restrict the analysis to binary decision models. In a binary model, the decision-maker must choose one of two actions. For example, one decision means to undertake the invest ·ment project in a planning period, whereas the other decision prescribes to postpone the project for at least one more period. The analysis of dynamic decision models under conditions of uncertainty is not a very common approach in economics. In this framework the op timal decisions are only obtained by the extensive use of methods from operations research and from statistics. It is the intention to narrow some of the existing gaps in the fields of investment and portfolio analysis in this respect. This is done by combining techniques that have been devel oped in investment theory and portfolio selection, in stochastic dynamic programming, and in Bayesian statistics. The latter field indicates the use of Bayes' theorem for the revision of the probability distributions of the random variables over time.

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Produktdetails

• Lecture Notes in Economics and Mathematical Systems 313
• Verlag: Springer / Springer Berlin Heidelberg / Springer, Berlin
• Artikelnr. des Verlages: 978-3-540-50034-6
• 1988.
• Seitenzahl: 168
• Erscheinungstermin: 27. Juli 1988
• Englisch
• Abmessung: 244mm x 170mm x 10mm
• Gewicht: 280g
• ISBN-13: 9783540500346
• ISBN-10: 3540500340
• Artikelnr.: 09207200

Autorenporträt

WERNER JAMMERNEGG ist Professor am Institut für Produktionsmanagement der Wirtschaftsuniversität Wien. Seine Schwerpunkte in Forschung, Lehre und Beratung sind Operations und Supply Chain Management. Prof. Jammernegg ist Autor des Lehrbuches "Grundzüge der Beschaffung, Produktion und Logistik".

Inhaltsangabe

1. Introduction.- 1.1 Uncertainty and Risk Aversion.- 1.2 Methods and Organization.- 2. The Monotonicity of Transition Probabilities.- 2.1 Sufficient Statistics.- 2.2 Posterior Distributions and Transition Probabilities.- 3. Dynamic Portfolio Models under Uncertainty.- 3.1 Classic Dynamic Portfolio Models.- 3.2 Binary Dynamic Portfolio Models under Uncertainty.- 4. The Optimal Timing of Investment.- 4.1 Investment Decisions and the Economic Life of Projects.- 4.2 A Deterministic Model in Continuous Time.- 4.3 Investment Models under Conditions of Risk.- 4.4 Investment Models under Conditions of Uncertainty.- 5. Concluding Remarks.- References.