Dynamic monotonicity and comparative statics for real options
成果类型：
Article
署名作者：
Friedman, EJ; Johnson, S
署名单位：
Duke University
刊物名称：
JOURNAL OF ECONOMIC THEORY
ISSN/ISSBN：
0022-0531
DOI：
10.1006/jeth.1997.2284
发表日期：
1997
页码：
104-121
关键词：
摘要：
We analyze thr relationship between complementarities and monotonicity in dynamic programs. While complementarities (supermodularity and nondecreasing differences) are sufficient for monotonic statics ill stochastic dynamic programs: they an only ''robustly'' necessary in a limited may under heavy discounting, Monotonicity oi the: decision rule dues not in general imply monotonicity of the optimal path. In Fact, optimal paths in such models may exhibit extremely complex behavior. Fur convex adjustment costs many real option models have monotone decision rules, while ibr fixed costs they typically do not. We also strengthen a weil known characterization of complementaries due to Milgrom and Shannon [19]. Journal of Economic Literature Classification Numbers: C61, D92, E22. (C) 1997 Academic Press.