具有建设时间和不确定性的明确投资规则
Explicit investment rules with time-to-build and uncertainty
摘要：
我们建立了明确的社会最优的规则，一个不可逆的投资决策与建设时间和不确定性。假设价格敏感的需求函数具有随机截距，我们提供了比较静态和经济解释的三种需求模型（算术布朗，几何布朗，和Cox-Ingersoll-Ross）。承诺容量，即装机容量加上管道投资，绝不能低于未来需求的最佳预测值，减去两个偏差。贴现偏差考虑到投资是为未来使用而预先支付的事实;预防偏差将一种风险厌恶指数乘以当地波动率。根据分析形式，我们详细讨论了经济效应。
英文摘要：
We establish explicit socially optimal rules for an irreversible investment deci- sion with time-to-build and uncertainty. Assuming a price sensitive demand function with a random intercept, we provide comparative statics and economic interpreta- tions for three models of demand (arithmetic Brownian, geometric Brownian, and the Cox-Ingersoll-Ross). Committed capacity, that is, the installed capacity plus the in- vestment in the pipeline, must never drop below the best predictor of future demand, minus two biases. The discounting bias takes into account the fact that investment is paid upfront for future use; the precautionary bias multiplies a type of risk aversion index by the local volatility. Relying on the analytical forms, we discuss in detail the economic effects.
机构、总结、中文摘要均由AI分析而来，可能存在错误，请以论文正文为准。
