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2014 Fiscal Year Final Research Report

Development of Evaluating Models of Pollutant Reduction Investment Projects by using Real Options Approach and Their Applications

Research Project

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Project/Area Number 24510213
Research Category

Grant-in-Aid for Scientific Research (C)

Allocation TypeMulti-year Fund
Section一般
Research Field Social systems engineering/Safety system
Research InstitutionDoshisha University

Principal Investigator

TSUJIMURA Motoh  同志社大学, 商学部, 准教授 (40335328)

Project Period (FY) 2012-04-01 – 2015-03-31
Keywordsリアルオプション / 汚染物質削減 / 確率制御
Outline of Final Research Achievements

This study investigates pollution abatement investment projects by using real options method. Especially this study focuses as follows. 1) This study examines a firm’s pollutant abatement investment problem under uncertainty. It is assumed that the firm can invest in the pollutant abatement capital as necessary. Then, the firm’s problem is formulated as a singular stochastic control problem. The optimal investment strategy is shown. 2) This study also considers a firm's R&D project investment uncertainty. The firm has two R&D project options and must decide in which project to invest and when to invest in the chosen R&D project so as to maximize profit. Using this analysis, the firm's expenditure on R&D investment is endogenously derived and the optimal R&D investment strategy is shown. Furthermore, comparative static analyses show that how economic parameters like uncertainty impact on investment decision.

Free Research Field

ファイナンス

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Published: 2016-06-03  

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