+publisher:"University of Texas – Austin" +contributor:("Boyarchenko, Svetlana I.")

You searched for +publisher:"University of Texas – Austin" +contributor:("Boyarchenko, Svetlana I."). Showing records 1 – 4 of 4 total matches.

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1. Chiang, Piin-hueih. Essays on timing and identification in a duopoly.

Degree: Economics, 2013, University of Texas – Austin

URL: http://hdl.handle.net/2152/21760

► Upon making an optimal timing decision, a player takes into consideration not only the actions of the other players, but also the uncertainty of the… (more)

▼ Upon making an optimal timing decision, a player takes into consideration not only the actions of the other players, but also the uncertainty of the environment. I use the real options approach to study the strategic timing decisions of asymmetric firms in an environment with uncertainty. When firms make timing decisions, they take into account the opportunity cost of immediate action today. The second chapter studies the identification in an asymmetric duopoly. The two potential entrants contemplate entering a new market where the demand follows a geometric Brownian motion. I show that under certain parameter conditions there will be an equilibrium triggered by preemption, and both firms could preempt. Moreover, the equilibrium may no longer be only triggered by preemption. I identify the joint distribution of the unobserved investment costs and find the probability of the first entry being triggered by preemption. Given the observation of the first entrant, I can predict the probability of observing the second entrant. The third chapter studies the spillover effect of exit in a vertical relationship. I extend the methodology of irreversible investment under uncertainty to consider exits in a vertical market structure. When the exogenous demand shock is low, one party of the supply chain wants to exit first and will thus lead to the exit of the remaining party. The firm which wants to exit later strategically acts to delay the exit of its counterpart and therefore prevents its own exit. When the state level drops below the unique equilibrium exit threshold, both firms will exit simultaneously. The expected delay in exit timing is derived. The fourth chapter studies the strategic optimal timing of entry in the competition between one-way essential complements under demand uncertainty. The value of a new add-on to its consumers is uncertain. While the rational essential good producing firm recognizes the value of waiting under uncertainty when it contemplates entering the add-on market and endogenously self-selects between the two entry options- to produce or to acquire, the add-on producing firm strategically decides when to agree on acquisition. The impact of profit sharing in the case of acquisition and relative fixed costs of entry on the size and form of the waiting region and the responses of both firms are analyzed. Advisors/Committee Members: Boyarchenko, Svetlana I. (advisor).

Subjects/Keywords: Asymmetric duopoly; Game-theoretic real options

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APA (6^th Edition):

Chiang, P. (2013). Essays on timing and identification in a duopoly. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/21760

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Chiang, Piin-hueih. “Essays on timing and identification in a duopoly.” 2013. Thesis, University of Texas – Austin. Accessed June 15, 2019. http://hdl.handle.net/2152/21760.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Chiang, Piin-hueih. “Essays on timing and identification in a duopoly.” 2013. Web. 15 Jun 2019.

Vancouver:

Chiang P. Essays on timing and identification in a duopoly. [Internet] [Thesis]. University of Texas – Austin; 2013. [cited 2019 Jun 15]. Available from: http://hdl.handle.net/2152/21760.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Chiang P. Essays on timing and identification in a duopoly. [Thesis]. University of Texas – Austin; 2013. Available from: http://hdl.handle.net/2152/21760

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

University of Texas – Austin

2. -9814-857X. Experimentation with multiple sources of uncertainty.

Degree: Economics, 2018, University of Texas – Austin

URL: http://hdl.handle.net/2152/65837

► I study experimentation under two types of uncertainty – the quality and profitability of a risky technology. The quality of the technology can be good or… (more)

▼ I study experimentation under two types of uncertainty – the quality and profitability of a risky technology. The quality of the technology can be good or bad. If the quality is good, then payoffs arrive at the jump times of the standard Poisson process. If the technology is bad it does not generate payoffs. Payoffs are stochastic and the sizes of the realizations depend on the underlying state of the economy. Some payoffs reveal the state completely, others do not. First, I consider an experimenter who chooses an irreversible exit time. I find that, after the first arrival of a payoff, the optimal stopping policy can be characterized by a cutoff belief about the true state of the economy. Before the first payoff, the stopping region of the experimenter is a subset of the space of beliefs about the technology's quality and profitability which cannot be characterized by cutoff beliefs. I find that the experimenter reacts differently to each source of uncertainty or risk, and that the most cost-effective subsidy for such an experimenter is an increase to his highest possible payoff. That is, the optimal subsidy makes the project riskier and subsidizes the experimenter when he is already performing well. Next, I consider an experimenter facing the same environment who also chooses the rate of the Poisson process after each observation of a payoff. While many of the results from chapter 1 carry through, I find that investment in the project in non-monotonic in the persistence of the states of the economy. Finally, I study an experimenter facing an environment similar to that in the first setting, but who has the option to irreversibly deploy his technology at scale, that is, to augment the payoffs in the long-run by making a large investment today. Here I find a rich set of investment and stopping policies, and that the optimal subsidy depends on the objective of the policy makers. Policy makers can encourage experimentation most efficiently by subsidizing the lowest payoff, and can encourage scaling the project by subsidizing the cost of investment. Advisors/Committee Members: Boyarchenko, Svetlana I. (advisor), Stinchcombe, Maxwell (committee member), Wiseman, Thomas (committee member), Feldman, Mark (committee member).

Subjects/Keywords: Optimal stopping; Endogenous arrival rate; Decision under uncertainty; Investment under uncertainty; Real options

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APA (6^th Edition):

-9814-857X. (2018). Experimentation with multiple sources of uncertainty. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/65837

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

-9814-857X. “Experimentation with multiple sources of uncertainty.” 2018. Thesis, University of Texas – Austin. Accessed June 15, 2019. http://hdl.handle.net/2152/65837.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

-9814-857X. “Experimentation with multiple sources of uncertainty.” 2018. Web. 15 Jun 2019.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete

Vancouver:

-9814-857X. Experimentation with multiple sources of uncertainty. [Internet] [Thesis]. University of Texas – Austin; 2018. [cited 2019 Jun 15]. Available from: http://hdl.handle.net/2152/65837.

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

-9814-857X. Experimentation with multiple sources of uncertainty. [Thesis]. University of Texas – Austin; 2018. Available from: http://hdl.handle.net/2152/65837

Note: this citation may be lacking information needed for this citation format:
Author name may be incomplete
Not specified: Masters Thesis or Doctoral Dissertation

3. Wilson, Michael Scott. Individuals' decisions and group behavior in financial economics.

Degree: Economics, 2012, University of Texas – Austin

URL: http://hdl.handle.net/2152/19538

► This dissertation contains three chapters in financial economics that theoretically and empirically examine how individuals' investment decisions explain aggregate behavior. The first chapter examines how… (more)

▼ This dissertation contains three chapters in financial economics that theoretically and empirically examine how individuals' investment decisions explain aggregate behavior. The first chapter examines how reputational herding between fund managers depends on the fee structure, fund manager evaluation metric, market efficiency, and density of talented fund managers. Results show there are more equilibria involving herding between fund managers when net fund balance growth depends on reputation of talent rather than fund return. These inefficient equilibria are removed when the ratio of the performance fee rate to management fee rate is larger than calculated thresholds that depend on market efficiency and the density of talented fund managers. In the absence of performance fees, lower predictability of investment returns and a higher density of talented fund managers increase the desire for fund managers to deviate from efficient equilibria. The model also shows having fund managers compete against each other induces herding when net fund balance growth depends on fund returns, but removes herding equilibria when net fund balance growth depends on reputation of talent. The second chapter determines what herding networks exist between institutional investors and how herding depends on stock market volatility, degree of portfolio changes, and stock size. Using quarterly holding data from 2000-2010, I find stronger herding networks between similar types of institutions compared to institutions in the same metropolitan area. Furthermore, the herding network between similar types of institutions exists across metropolitan areas. Results show institutions herd more when making major portfolio changes than when making minor portfolio changes. The difference in herding between the two types of portfolio changes is greatest for small cap stocks which exhibit the highest levels of herding under both types of portfolio changes. The relationship between market volatility and herding by institutions is also examined and found not to have a strong correlation using quarterly holdings data. The third chapter answers the question, "Can reasonable wind energy plant cost reductions or efficiency improvements precipitate immediate investment in wind energy in the absence of renewable energy Production Tax Credits?" I analyze a single entity considering an irreversible investment under uncertainty in wind power energy. The investor's decision to invest is dependent on investment cost, energy production efficiency, government policy, current price of electricity, and beliefs on future electricity prices. The results show that even with substantial cost reductions and efficiency improvements, Production Tax Credits are still needed to encourage immediate investment. Advisors/Committee Members: Boyarchenko, Svetlana I. (advisor), Abrevaya, Jason (committee member), Starks, Laura (committee member), Stinchcombe, Maxwell (committee member), Wiseman, Thomas (committee member).

Subjects/Keywords: Herding; Real options; Financial economics

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Wilson, M. S. (2012). Individuals' decisions and group behavior in financial economics. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/19538

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Wilson, Michael Scott. “Individuals' decisions and group behavior in financial economics.” 2012. Thesis, University of Texas – Austin. Accessed June 15, 2019. http://hdl.handle.net/2152/19538.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Wilson, Michael Scott. “Individuals' decisions and group behavior in financial economics.” 2012. Web. 15 Jun 2019.

Vancouver:

Wilson MS. Individuals' decisions and group behavior in financial economics. [Internet] [Thesis]. University of Texas – Austin; 2012. [cited 2019 Jun 15]. Available from: http://hdl.handle.net/2152/19538.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Wilson MS. Individuals' decisions and group behavior in financial economics. [Thesis]. University of Texas – Austin; 2012. Available from: http://hdl.handle.net/2152/19538

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

4. Dehghani Firouzabadi, Mohammad Hossein. Essays on real options and strategic interactions.

Degree: Economics, 2012, University of Texas – Austin

URL: http://hdl.handle.net/2152/ETD-UT-2012-08-6360

► Chapter 2 considers technology adoption under both technological and subsidy uncertainties. Uncertainty in subsidies for green technologies is considered as an example. Technological progress is… (more)

▼ Chapter 2 considers technology adoption under both technological and subsidy uncertainties. Uncertainty in subsidies for green technologies is considered as an example. Technological progress is exogenous and modeled as a jump process with a drift. The analytical solution is presented for cases when there is no subsidy uncertainty and when the subsidy changes once. The case when the subsidy follows a time invariant Markov process is analyzed numerically. The results show that improving the innovation process raises the investment thresholds. When technological jumps are small or rare, this improvement reduces the expected time before technology adoption. However, when technological jumps are large or abundant, this improvement may raise this expected time. Chapter 3 studies technology adoption in a duopoly where the unbiased technological change improves production efficiency. Technological progress is exogenous and modeled as a jump process with a drift. There is always a Markov perfect equilibrium in which the firm with more efficient technology never preempts its rival. Also, a class of equilibria may exist that lead to a smaller industry surplus. In these equilibria either of the firms may preempt its rival in a set of technology efficiency values. The first investment does not necessarily happen at the boundary of this set due to the discrete nature of the technology progress. The set shrinks and eventually disappears when the difference between firms’ efficiencies increases. Chapter 4 studies the behavior of two firms after a new investment opportunity arises. Firms either invest immediately or wait until market uncertainty is resolved. Two types of separating equilibrium are possible when sunk costs are private information. In the first type the firm with lower cost invests first. In the second type the firm with higher cost invests first leading to a smaller industry surplus. The results indicate that the second type is possible only for strictly negatively correlated sunk costs. Numerical analysis illustrates that when first mover advantage is large, the firm that delays the investment should be almost certain about its rival’s sunk cost. When market risk increases, the equilibria can exist when the firm is less certain. Advisors/Committee Members: Boyarchenko, Svetlana I. (advisor), Almazan, Andres (committee member), Stinchcombe, Maxwell B. (committee member), Tompaidis, Stathis (committee member), Wiseman, Thomas (committee member).

Subjects/Keywords: Investment; Uncertainty; Real options; Technology adoption; Policy uncertainty; Clean technology; Regime switching; Strategic investment; Incomplete information; Innovation

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APA · Chicago · MLA · Vancouver · CSE | Export to Zotero / EndNote / Reference Manager

APA (6^th Edition):

Dehghani Firouzabadi, M. H. (2012). Essays on real options and strategic interactions. (Thesis). University of Texas – Austin. Retrieved from http://hdl.handle.net/2152/ETD-UT-2012-08-6360

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Chicago Manual of Style (16^th Edition):

Dehghani Firouzabadi, Mohammad Hossein. “Essays on real options and strategic interactions.” 2012. Thesis, University of Texas – Austin. Accessed June 15, 2019. http://hdl.handle.net/2152/ETD-UT-2012-08-6360.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

MLA Handbook (7^th Edition):

Dehghani Firouzabadi, Mohammad Hossein. “Essays on real options and strategic interactions.” 2012. Web. 15 Jun 2019.

Vancouver:

Dehghani Firouzabadi MH. Essays on real options and strategic interactions. [Internet] [Thesis]. University of Texas – Austin; 2012. [cited 2019 Jun 15]. Available from: http://hdl.handle.net/2152/ETD-UT-2012-08-6360.

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

Council of Science Editors:

Dehghani Firouzabadi MH. Essays on real options and strategic interactions. [Thesis]. University of Texas – Austin; 2012. Available from: http://hdl.handle.net/2152/ETD-UT-2012-08-6360

Note: this citation may be lacking information needed for this citation format:
Not specified: Masters Thesis or Doctoral Dissertation

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