On investment, uncertainty, and strategic interaction with applications in energy markets

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dc.contributor Aalto-yliopisto fi
dc.contributor Aalto University en
dc.contributor.author Murto, Pauli
dc.date.accessioned 2012-02-10T08:46:13Z
dc.date.available 2012-02-10T08:46:13Z
dc.date.issued 2003-05-07
dc.identifier.isbn 951-22-6445-5
dc.identifier.issn 0782-2030
dc.identifier.uri https://aaltodoc.aalto.fi/handle/123456789/2081
dc.description.abstract The thesis presents dynamic models on investment under uncertainty with the focus on strategic interaction and energy market applications. The uncertainty is modelled using stochastic processes as state variables. The specific questions analyzed include the effect of technological and revenue related uncertainties on the optimal timing of investment, the irreversibility in the choice between alternative investment projects with different degrees of uncertainty, and the effect of strategic interaction on the initiating of discrete investment projects, on the abandonment of a project, and on incremental capacity investments. The main methodological feature is the incorporation of game theoretic concepts in the theory of investment. It is argued that such an approach is often desirable in terms of real applications, because many industries are characterized by both uncertainty and strategic interaction between the firms. Besides extending the theory of investment, this line of work may be seen as an extension of the theory of industrial organization towards the direction that views market stability as one of the factors explaining rational behaviour of the firms. en
dc.format.extent 23, [148]
dc.format.mimetype application/pdf
dc.language.iso en en
dc.publisher Helsinki University of Technology en
dc.publisher Teknillinen korkeakoulu fi
dc.relation.ispartofseries Research reports / Helsinki University of Technology, Systems Analysis Laboratory. A en
dc.relation.ispartofseries 84 en
dc.relation.haspart Murto, P., 2003. Timing of investment under technological and revenue related uncertainties. Systems Analysis Laboratory Research Report E11, Helsinki University of Technology. [article1.pdf] © 2003 by author.
dc.relation.haspart Murto, P. and Nese, G., 2002. Input price risk and optimal timing of energy investment: choice between fossil- and biofuels. Working Paper No. 25 / 02, Institute for Research in Economics and Business Administration. Bergen, May 2002 (revised January 2003). [article2.pdf] © 2002 by authors.
dc.relation.haspart Murto, P. and Keppo, J., 2002. A game model of irreversible investment under uncertainty. International Game Theory Review, Vol. 4, No. 2, pages 127-140. [article3.pdf] © 2002 World Scientific Publishing. By permission.
dc.relation.haspart Murto, P., Näsäkkälä, E. and Keppo, J., Timing of investments in oligopoly under uncertainty: a framework for numerical analysis. European Journal of Operational Research, to appear. [article4.pdf] © 2003 by authors and © 2003 Elsevier Science. By permission.
dc.relation.haspart Murto, P., Exit in duopoly under uncertainty. RAND Journal of Economics, to appear. [article5.pdf] © 2003 by author.
dc.relation.haspart Pineau, P.-O. and Murto, P., An oligopolistic investment model of the Finnish electricity market. Annals of Operations Research, to appear. [article6.pdf] © 2003 by authors and © 2003 Kluwer Academic Publishers. By permission.
dc.subject.other Economics en
dc.subject.other Energy en
dc.title On investment, uncertainty, and strategic interaction with applications in energy markets en
dc.type G5 Artikkeliväitöskirja fi
dc.description.version reviewed en
dc.contributor.department Department of Engineering Physics and Mathematics en
dc.contributor.department Teknillisen fysiikan ja matematiikan osasto fi
dc.subject.keyword irreversible investment en
dc.subject.keyword uncertainty en
dc.subject.keyword real options en
dc.subject.keyword energy markets en
dc.subject.keyword game theory en
dc.identifier.urn urn:nbn:fi:tkk-000491
dc.type.dcmitype text en
dc.type.ontasot Väitöskirja (artikkeli) fi
dc.type.ontasot Doctoral dissertation (article-based) en
dc.contributor.lab Systems Analysis Laboratory en
dc.contributor.lab Systeemianalyysin laboratorio fi


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