论文标题
骑士不可逆转的投资问题
A Knightian Irreversible Investment Problem
论文作者
论文摘要
在本文中，我们研究了骑士不确定性下的不可逆投资问题。在一般框架中，骑士不确定性是通过一组多个先验建模的，我们证明了最佳投资计划的存在和独特性，并得出了最佳的必要和充分条件。这使我们能够根据最坏情况下的随机向后方程的解决方案来构建最佳策略。在及时的环境中，我们能够通过所谓的“ K-尊严”来实现由几何布朗运动和骑士不确定性驱动的风险 - 我们能够提供最佳的最佳不可逆投资计划的明确形式。
In this paper, we study an irreversible investment problem under Knightian uncertainty. In a general framework, in which Knightian uncertainty is modeled through a set of multiple priors, we prove existence and uniqueness of the optimal investment plan, and derive necessary and sufficient conditions for optimality. This allows us to construct the optimal policy in terms of the solution to a stochastic backward equation under the worst-case scenario. In a time-homogeneous setting - where risk is driven by a geometric Brownian motion and Knightian uncertainty is realized through a so-called "k-ignorance" - we are able to provide the explicit form of the optimal irreversible investment plan.
