search query: @author Kort, P. M. / total: 2
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| Author: | Kort, P. M. |
| Title: | Dynamic firm behavior within an uncertain environment. |
| Journal: | European Journal of Operational Research
1990 : AUG 15, VOL. 47:3, p. 371-386 |
| Index terms: | INVESTMENT FINANCING CAPITAL ASSET PRICING DYNAMIC PROGRAMMING UNCERTAINTY |
| Language: | eng |
| Abstract: | The impact of an uncertain environment on the optimal dynamic investment policies of a value maximizing firm is studied. A model is presented in which risk-averse behaviour of the shareholders is incorporated. The policies that can be optimal for the firm are derived and solutions under different scenarios are presented. After incorporating a dynamic version of the Capital Asset Pricing Model, a new formula for the shareholders' time preference rate is derived, which consists of the riskless interest rate and a risk premium. |
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