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Irreversible Investment, Operating Flexibility, and Time Lags
| Title: | Irreversible Investment, Operating Flexibility, and Time Lags |
| Authors: | Takashima, Ryuta Browse this author | | Goto, Makoto Browse this author →KAKEN DB | | Tsujimura, Motoh Browse this author |
| Keywords: | Real options | | investment and operation under uncertainty | | time lag |
| Issue Date: | Apr-2010 |
| Publisher: | World Scientific Publishing |
| Journal Title: | Asia-Pacific Journal of Operational Research |
| Volume: | 27 |
| Issue: | 2 |
| Start Page: | 271 |
| End Page: | 286 |
| Publisher DOI: | 10.1142/S0217595910002685 |
| Abstract: | 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. |
| Rights: | Electronic version of an article published as Asia-Pacific Journal of Operational Research (APJOR), 27(2), 2010, 271-286, 10.1142/S0217595910002685 © copyright World Scientific Publishing Company, http://www.worldscinet.com/apjor/apjor.shtml |
| Type: | article (author version) |
| URI: | http://hdl.handle.net/2115/48251 |
| Appears in Collections: | 経済学院・経済学研究院 (Graduate School of Economics and Business / Faculty of Economics and Business) > 雑誌発表論文等 (Peer-reviewed Journal Articles, etc)
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Submitter: 後藤 允
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