Optimal Regime Switching under Risk Aversion and Uncertainty

Michail Chronopoulos; S. Lumbreras

doi:10.1016/j.ejor.2016.06.027

Optimal Regime Switching under Risk Aversion and Uncertainty

Michail Chronopoulos, S. Lumbreras

University of Brighton

Research output: Contribution to journal › Article › peer-review

Original language	English
Pages (from-to)	543-555
Number of pages	13
Journal	European Journal of Operational Research
Volume	256
Issue number	2
DOIs	https://doi.org/10.1016/j.ejor.2016.06.027
Publication status	Published - 16 Jun 2016

Bibliographical note

Keywords

Investment analysis
Real options
Regime switching
Risk aversion
Dynamic programming

Access to Document

10.1016/j.ejor.2016.06.027Licence: Unspecified

Optimal Regime Switching under Risk Aversion and Uncertainty.pdfAccepted author manuscript, 1.39 MBLicence: CC BY-NC-ND

Cite this

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title = "Optimal Regime Switching under Risk Aversion and Uncertainty",

keywords = "Investment analysis, Real options, Regime switching, Risk aversion, Dynamic programming",

author = "Michail Chronopoulos and S. Lumbreras",

note = "{\textcopyright} 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/",

year = "2016",

month = jun,

day = "16",

doi = "10.1016/j.ejor.2016.06.027",

language = "English",

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T1 - Optimal Regime Switching under Risk Aversion and Uncertainty

AU - Chronopoulos, Michail

AU - Lumbreras, S.

PY - 2016/6/16

Y1 - 2016/6/16

KW - Investment analysis

KW - Real options

KW - Regime switching

KW - Risk aversion

KW - Dynamic programming

U2 - 10.1016/j.ejor.2016.06.027

DO - 10.1016/j.ejor.2016.06.027

M3 - Article

SN - 0377-2217

VL - 256

SP - 543

EP - 555

JO - European Journal of Operational Research

JF - European Journal of Operational Research

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