Monetizing Positive Externalities to Mitigate the Infrastructure Underinvestment Problem

• 成果类型: Article
• 署名作者: Bai, Hao; Bensoussan, Alain; Briest, Gordon; Chevalier-Roignant, Benoi
• 署名单位: University of Manchester; University of Texas System; University of Texas Dallas; Otto von Guericke University; emlyon business school
• 刊物名称: OPERATIONS RESEARCH
• ISSN/ISSBN: 0030-364X
• DOI: 10.1287/opre.2023.0075
• 发表日期: 2025
• 关键词: valuing american options; INVESTMENT; acquisitions; simulation; valuation; mergers; models; game

摘要

Many cities face challenges in financing their infrastructure. If a decision maker cannot capture all the benefits of its investment, there is a risk of underinvestment. Hong Kong's transit operator designed a scheme in which it not only receives fare revenues, but also participates in a property management business, exploiting the positive externalities of public transport on nearby property prices. We develop a stochastic Stackelberg game of timing to explore the rationale of this scheme. The underlying problem is nontrivial because the operator faces a two-dimensional optimal stopping problem that cannot be reduced by a change of nume raire. We determine the operator's optimal investment policy via the intermediation of a penalized problem and derive comparative statics. We determine the circumstances under which monetizing positive externalities effectively favors infrastructure investment. Other management problems have similar structures.