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|Title:||Stochastic refinement of an optimal investment model with adjustment costs of Jorgensen-Kort .|
|Abstract:||Abstract In this short paper, we give exemplify how an established optimal control model in Economics may be extended to include stochastic effects. The extension and refinement has a three-fold effect: a) It makes the model mathematically more sophisticated and advanced b) It gives to it statistical and econometric foundation; it is therefore related directly to empirical measurements. c) Many different cases can be considered to follow the model (up to a probability of an error) that in the previous deterministic formulation should be excluded. We have chosen a relatively recent model by Jorgensen and Kort about optimal investment with adjustment costs.|
|Appears in Collections:||Δημοσιεύσεις σε Συνέδρια|
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