Publicação
Strategic capacity investment under uncertainty: Mathematical insights and practical applications
| Resumo: | The primary objective of this thesis is to replicate the analytical and numerical results of the article by Huisman and Kort (2015), as well as to detail the process of replicating figures and tables to guide readers in obtaining similar results. Our methodology employs quantitative techniques, specifically stochastic calculus. The results obtained are implemented in MATLAB to replicate the figures and tables presented in the original article. The primary data involves variables from the geometric Brownian motion process, price functions (both linear and isoelastic), and the positive root of a general solution to an ordinary differential equation. The analytical derivation of the various propositions in the article led to the conclusion that there are some inaccuracies in the equations, results, and figures of the article. In particular, expressions (12), (A22), (A70), (B17), and (B30), as well as Figure 1(a), are erroneously presented in the original article. Furthermore, as uncertainty increases, firms delay their investments but invest in larger capacities. Finally, the leader firm tends to overinvest to deter the follower firm from investing, although this strategy cannot be sustained indefinitely. |
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| Autores principais: | Matos, Bruno Xavier Ventura de |
| Assunto: | Strategic capacity investment Uncertainty Real options Optimal investment decision Investment timing Stochastic calculus Investimento estratégico em capacidade Incerteza Opções reais Decisão de investimento ótima Temporização de investimento Cálculo estocástico |
| Ano: | 2025 |
| País: | Portugal |
| Tipo de documento: | dissertação de mestrado |
| Tipo de acesso: | acesso aberto |
| Instituição associada: | ISCTE |
| Idioma: | inglês |
| Origem: | Repositório ISCTE |
| Resumo: | The primary objective of this thesis is to replicate the analytical and numerical results of the article by Huisman and Kort (2015), as well as to detail the process of replicating figures and tables to guide readers in obtaining similar results. Our methodology employs quantitative techniques, specifically stochastic calculus. The results obtained are implemented in MATLAB to replicate the figures and tables presented in the original article. The primary data involves variables from the geometric Brownian motion process, price functions (both linear and isoelastic), and the positive root of a general solution to an ordinary differential equation. The analytical derivation of the various propositions in the article led to the conclusion that there are some inaccuracies in the equations, results, and figures of the article. In particular, expressions (12), (A22), (A70), (B17), and (B30), as well as Figure 1(a), are erroneously presented in the original article. Furthermore, as uncertainty increases, firms delay their investments but invest in larger capacities. Finally, the leader firm tends to overinvest to deter the follower firm from investing, although this strategy cannot be sustained indefinitely. |
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