Optimal Regime Switching under Risk Aversion and Uncertainty

Michail Chronopoulos, S. Lumbreras

Research output: Contribution to journalArticle

Original languageEnglish
Pages (from-to)543-555
Number of pages13
JournalEuropean Journal of Operational Research
Volume256
Issue number2
DOIs
Publication statusPublished - 16 Jun 2016

Bibliographical note

© 2016. This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/

Keywords

  • Investment analysis
  • Real options
  • Regime switching
  • Risk aversion
  • Dynamic programming

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