Irreversible Investment, Operating Flexibility, and Time Lags

スポンサーリンク

概要

• 論文の詳細を見る

• We consider an optimal investment problem when a firm such as an electric power company has the operational flexibility to expand and contract capacity with fixed cost. This problem is formulated as an impulse control problem combined with optimal stopping. Consequently, we obtain optimal investment timing, optimal capacity expansion and contraction timing, and the investment value. We also show investment, capacity expansion and contraction rule are influenced by the price volatility and the initial capacity is also influenced by the ratio between base-load plant and peak-load plant. In addition, we investigate how time lag between investment and operation influences the investment rule.

• World Scientific Publishingの論文

著者

• GOTO Makoto

  Hokkaido University

• TSUJIMURA Motoh

  Ryukoku University

• Takashima Ryuta

  Department Of Nuclear Engineering And Management The University Of Tokyo

関連論文

• Optimal Default and Liquidation with Tangible Assets and Debt Renegotiation
• Decommissioning and Equipment Replacement of Nuclear Power Plants under Uncertainty
• 2-A-1 Optimal Default and Liquidation with Tangible Assets and Debt Renegotiation
• 2-G-8 Choice of alternative environmental policies with quadratic cost under uncertainty
• 2-G-7 Switchable Emissions and Optimal Timing of Environmental Policy
• Irreversible Investment, Operating Flexibility, and Time Lags

スポンサーリンク