KTH Matematik  

Matematisk Statistik

Tid: 16 maj 2013 kl 13.15-14.00.

Seminarierummet 3721, Institutionen för matematik, KTH, Lindstedts väg 25, plan 7. Karta!

Föredragshållare: Professor Luis H. R. Alvarez Esteban, Turku School of Economics.

Titel: Investment and Liquidity under Uncertainty

Abstract We design an investment model characterized by liquidity constraints such that the investment option can be exercised only at discrete timings, distributed according to a Poisson process. We show that liquidity constraints reduce the optimal investment threshold. Further, the optimal investment threshold increases monotonically as a function of the intensity of the Poisson process and it approaches the threshold associated with no liquidity constraints as we approach perfect timing flexibility. We also characterize the distortion associated with the liquidity constraint in the form of an explicit illiquidity premium. Finally, we analyze the incentives of the decision maker for liquidity hoarding.

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Sidansvarig: Filip Lindskog
Uppdaterad: 25/02-2009