Sequential Binary Investment Decisions: A Bayesian Approach (Lecture Notes in Economics & Mathematical Systems)

Sequential Binary Investment Decisions: A Bayesian Approach (Lecture Notes in Economics & Mathematical Systems) by Werner Jammernegg epub pdf fb2

Title: Sequential Binary Investment Decisions: A Bayesian Approach (Lecture Notes in Economics & Mathematical Systems)
Author: Werner Jammernegg
ISBN10: 0387500340
ISBN13: 978-0387500348
Publisher: Springer Verlag (September 1, 1988)
Language: English
Subcategory: Business & Finance
Size PDF: 1872 kb
Size Fb2: 1567 kb
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Sequential Binary Investment Decisions: A Bayesian Approach (Lecture Notes in Economics & Mathematical Systems) by Werner Jammernegg


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This book deals with analysis of sequential decision models in investment and portfolio theory. The optimal investment strategy is derived by using results from stochastic dynamic programming and from Bayesian statistics. The analysis is largely restricted to models with only two alternatives in order that powerful results may be obtained. In the first part a dynamic portfolio model consisting of two assets is considered. In the second part a stopping decision model is used to determine the optimal investment date of a long-lived real project. Results from discrete-time dynamic programming and from Bayesian statistics are used to derive structural properties of the optimal investment strategy, such as monotonicity results. Thereby the optimal investment strategy allows plausible economic interpretations and leads to many interesting sensitivity results.