Now showing items 1-2 of 2
A Paradox in Time-Consistency in the Mean-Variance Problem?
(Springer Heidelberg, 2018-12-19)
We establish new conditions under which a constrained (no short-selling) time-consistent equilibrium strategy, starting at a certain time, will beat the unconstrained counterpart, as measured by the magnitude of their ...
Sequential Capacity Expansion Options
This paper considers a firm's capacity expansion decisions under uncertainty. The firm has leeway in timing investments and in choosing how much capacity to install at each investment time. We model this problem as the ...