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The timing and intensity of investment under ambiguity

机译：模糊性下的投资时机和强度

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This paper extends the classic irreversible-investment problem by incorporating Knightian uncertainty to investigate the effect of ambiguity on a firm's endogenously determined intensity and timing decisions. Compared to preceding studies, we clarify that the introduction of Knightian uncertainty brings a new trade-off between the option effect and ambiguity effect. Concretely, we find that ambiguity results in a U-shaped pattern of the optimal intensity as well as investment threshold against the volatility of the project. Inheriting from the non-monotonic pattern, an increase in risk can actually shorten the expected exercise time and thereby speed up investment in certain situations. However, an increase in ambiguity via a change in the degree of Knigtian uncertainty unambiguously narrows the intensity and accelerates the investment. Finally, robustness for parameterization is examined in this paper as well.
机译：本文通过合并Knightian不确定性来扩展经典的不可逆投资问题，以研究歧义性对公司内生确定的强度和时机决策的影响。与先前的研究相比，我们阐明了引入Knightian不确定性在期权效应和歧义效应之间带来了新的权衡。具体而言，我们发现歧义性导致最佳强度的U形模式以及针对项目波动性的投资门槛。从非单调模式继承下来，风险增加实际上可以缩短预期的行使时间，从而在某些情况下加快投资。但是，通过改变Knigtian不确定性程度来增加歧义性无疑会缩小强度并加速投资。最后，本文还研究了参数化的鲁棒性。

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