Consumption and Investment

Abel, Andrew B.

doi:10.3386/w2580

Cited by 49 publications

(27 citation statements)

References 20 publications

Supporting

Mentioning

Contrasting

Unclassified

Order By: Relevance

“…Naturally, under the conditions of Corollary 2.5 we always have the identity KðxÞ ¼ F Z;b ðxÞ on the continuation set where waiting is optimal. A third important implication of Theorem 2.3 characterizing the marginal value of the harvesting opportunity (and, therefore, Tobin's marginal q; for excellent surveys of the classical q-theory of investment, see Abel, 1990;Caballero, 1999) is now stated in our next corollary.…”

Section: The Harvesting Problemmentioning

confidence: 95%

Optimal harvesting under resource stock and price uncertainty

Alvarez

Koskela

2007

Journal of Economic Dynamics and Control

View full text Add to dashboard Cite

We analyze partial and complete depletion harvesting policy under resource stock and price uncertainty and risk neutrality. We state a set of weak conditions under which the optimal policy can be characterized by a single threshold and show that the value can be expressed in a separable form where price volatility affects the value through the risk adjusted growth rate. Both higher price and stock volatility decrease the value when the correlation between the driving Brownian motions is negative. With no correlation the optimal policy is independent of price volatility while higher stock volatility increases the harvesting threshold. r

show abstract

Section: The Harvesting Problemmentioning

confidence: 95%

Optimal harvesting under resource stock and price uncertainty

Alvarez

Koskela

2007

Journal of Economic Dynamics and Control

View full text Add to dashboard Cite

show abstract

“…During the interval between the detection of an existing capital earns rents, and the value of these rents is incorporated in the value of securities. Abel [1990] provides a detailed and clear explanation of the are a convex function of the flow of investment.…”

Section: The Speed Of Adjustmentmentioning

confidence: 99%

The Stock Market and Capital Accumulation

Hall

1999

View full text Add to dashboard Cite

“…Blanchard and Fischer 1989, p. 301;Abel 1990). Typically, empirical analyses are based on the implicit assumption that the relationships under investigation are stable over the estimation period (Berndt 1991, p. 277).…”

Section: Introductionmentioning

confidence: 99%