Irreversible Investment, Operating Flexibility, and Time Lags

Takashima, Ryuta; Goto, Makoto; Tsujimura, Motoh

Asia-Pacific Journal of Operational Research, 2010, 27(2), 271-286

Permalink : https://hdl.handle.net/2115/48251

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アクセス権
open access
URI
https://hdl.handle.net/2115/48251
タイトル
Irreversible Investment, Operating Flexibility, and Time Lags
著者
Takashima, Ryuta ; Goto, Makoto ; Tsujimura, Motoh
著者名
Takashima, Ryuta
e-Rad_Researcher
30434286
著者名
Goto, Makoto
著者名
Tsujimura, Motoh
言語
英語
キーワード
Real options
investment and operation under uncertainty
time lag
発行日
2010-04
出版者
World Scientific Publishing
収録物名
Asia-Pacific Journal of Operational Research
巻(号)
27(2)
ページ
271-286
抄録
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.
資源タイプ
学術雑誌論文
出版タイプ
Accepted Manuscript
権利情報
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
PISSN
0217-5959
関連情報 (isVersionOf)
出版社版DOI
https://doi.org/10.1142/S0217595910002685