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A Mean-Variance Approach to Capital Investment Optimization
We develop an improved model of capital investment under uncertainty that incorporates the variance of the capital stock in the payoff functional to manage risk. Our model results in a mean field type control problem that ...
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 ...