Irreversible Investment, Operating Flexibility, and Time Lags

• Takashima, Ryuta

• Goto, Makoto

• Tsujimura, Motoh

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.

収録刊行物

• Asia-Pacific Journal of Operational Research

  Asia-Pacific Journal of Operational Research 27 (2), 271-286, 2010-04

  World Scientific Publishing

キーワード

• Real options
• investment and operation under uncertainty
• time lag

詳細情報

• CRID: 1050282813986376576
• NII論文ID: 120003762638
• HANDLE: 2115/48251
• ISSN: 02175959
• 本文言語コード: en
• 資料種別: journal article
• データソース種別:
  • IRDB
  • CiNii Articles