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1、JOptimTheoryAppl(2010)146:709734DOI10.1007/s10957-010-9687-0TheWorstCaseforRealOptionsM.Trojanowska·P.M.KortPublishedonline:15April2010?TheAuthor(s)2010.ThisarticleispublishedwithopenaccessatSpringerlink.comAbstractTheproblemofthetimingofaninvestmentdecisionunderp
2、artialinfor-mationisanalyzedinaframeworkwherethe?rmisambiguityaverse.Theanalysisyieldsthedescriptionofarobustdecisionruleforaninvestmentina?nitelifeprojectinpresenceofastochasticinstantaneousreturn.Itisdemonstratedthatambiguityaversionmayaccelerateinvestmentinthes
3、hortrun.Expostvalidationofthedeter-minedinvestmentpolicytreatstheimpactofambiguityaversionontheproperwayofdiscountingofthepro?t?owresultingfromtheprojectandthefairpriceofriskassociatedwithambiguityaversion.KeywordsRealoptions·Ambiguityaversion·Endogenousdiscountfa
4、ctor·Marketpriceofrisk·Expostanalysis1IntroductionTheestimationofaprojectsgrowthrateisacrucialproblemfordeterminingthetimingofaninvestmentdecision.Thispaperexaminesthisquestionincasethein-CommunicatedbyG.Leitmann.WewouldliketothankAndrzejSkrzypacz,HansSchumacher,J
5、accoThijssen,andseminarparticipantsatTrinityCollegeDublin,UniversityofUlm,the10thAnnualInternationalConferenceonRealOptions,theWarsawEconomicMeeting2006,andthe22ndCongressofEuropeanEconomicAssociationforcommentsandsuggestions.FinancialsupportfromtheFlemishScienceF
6、oundation(F.W.O.)grantno.G.0374.04isgratefullyacknowledged.M.Trojanowska·P.M.Kort()DepartmentofEconomics,UniversityofAntwerp,Antwerp,Belgiume-mail:Kort@uvt.nlP.M.KortDepartmentofEconometrics&OperationsResearchandCentER,TilburgUniversity,Tilburg,TheNetherlands710J
7、OptimTheoryAppl(2010)146:709734stantaneousrateofreturnontheprojectmayvarydueto,e.g.,thepresenceoftech-nologicalprogress.Motivatedbystatisticalevidence,weassumethat,basedonthecurrentstateofthemarket,the?rmissomehowabletoestimatetherateoftechno-logicalprogress,butat
8、thesametimethe?rmsuspectsthatthisestimationmayturnouttobeincorrectinfuture.Forinstance,suchasituationoccursintodayspracticeinfastdevelopingindustriesdue
