Investment Timing and Technological Breakthroughs

IF 16.4 1区化学 Q1 CHEMISTRY, MULTIDISCIPLINARY

Accounts of Chemical Research Pub Date : 2024-07-09 DOI:10.1287/moor.2022.0022

Jean-Paul Décamps, Fabien Gensbittel, Thomas Mariotti

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Abstract

We study the optimal investment policy of a firm facing both technological and cash-flow uncertainty. At any point in time, the firm can irreversibly invest in a stand-alone technology or wait for a technological breakthrough. Breakthroughs occur when market conditions become favorable enough, exceeding a threshold value that is ex ante unknown to the firm. The Markov state variables for the optimal investment policy are the current market conditions and their historic maximum, and the firm optimally invests in the stand-alone technology only when market conditions deteriorate enough after reaching a maximum. The path-dependent return required for investing in the stand-alone technology is always higher than if no technological breakthroughs could occur and can take arbitrarily large values following certain histories. Decreases in development costs or increases in the value of the new technology make the firm more prone to bearing downside risk and delaying investment in the stand-alone technology.Funding: This research has benefited from financial support of the ANR [Programmes d’Investissements d’Avenir CHESS ANR-17-EURE-0010 and ANITI ANR-19-PI3A-0004] and the research foundation TSE-Partnership [Chaire Marchés des Risques et Création de Valeur, Fondation du Risque/SCOR].

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投资时机与技术突破

我们研究的是一家同时面临技术和现金流不确定性的公司的最优投资政策。在任何时间点，企业都可以不可逆转地投资于一项独立技术或等待技术突破。当市场条件变得足够有利，超过企业事先未知的临界值时，突破就会发生。最优投资政策的马尔可夫状态变量是当前市场条件及其历史最大值，只有当市场条件在达到最大值后恶化到足够严重时，企业才会对独立技术进行最优投资。投资独立技术所需的路径依赖回报率总是高于不发生技术突破的情况，并且在某些历史条件下可以任意取大值。开发成本的降低或新技术价值的增加会使企业更容易承担下行风险，并推迟对独立技术的投资：本研究得到了法国国家科学研究署（ANR）[Programmes d'Investissements d'Avenir CHESS ANR-17-EURE-0010 和 ANITI ANR-19-PI3A-0004]以及研究基金会 TSE-Partnership [Chaire Marchés des Risques et Création de Valeur, Fondation du Risque/SCOR] 的资助。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Accounts of Chemical Research 化学-化学综合

CiteScore

31.40

自引率

1.10%

发文量

312

审稿时长

2 months

期刊介绍： Accounts of Chemical Research presents short, concise and critical articles offering easy-to-read overviews of basic research and applications in all areas of chemistry and biochemistry. These short reviews focus on research from the author’s own laboratory and are designed to teach the reader about a research project. In addition, Accounts of Chemical Research publishes commentaries that give an informed opinion on a current research problem. Special Issues online are devoted to a single topic of unusual activity and significance. Accounts of Chemical Research replaces the traditional article abstract with an article "Conspectus." These entries synopsize the research affording the reader a closer look at the content and significance of an article. Through this provision of a more detailed description of the article contents, the Conspectus enhances the article's discoverability by search engines and the exposure for the research.