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This study investigates the capital expansion and reduction problem in firms when the output demand is ambiguous. We use the concept of κ-ignorance to describe the output demand ambiguity. When a firm changes its level of capital, it incurs both fixed and proportional costs. Therefore, the firm's problem is formulated as a stochastic impulse control problem. We solve the firm's problem via quasi-variational inequalities and numerically derive an optimal capital expansion and reduction policy. Further, we numerically conduct a comparative statics analysis that confirms that output demand ambiguity promotes capital reduction, while delaying capital expansion. Additionally, combining both the effects shrinks the continuation region.
内容記述
森田雅憲教授古稀祝賀記念号(Honorable issue in commemoration of Prof. Masanori Morita's 70 years of age)
著者名漢字表記の「辻」は「1点しんにょう」の置き換え
雑誌名
同志社商学
雑誌名(英)
Doshisha Shogaku (The Doshisha Business Review)
巻
72
号
6
ページ
1209 - 1227
発行年
2021-03-12
出版者
同志社大学商学会
出版者（英）
Doshisha Daigaku Shogakkai
The Association of Commerce Doshisha University
ISSN
03872858
書誌レコードID
AN00165609
権利
同志社大学商学会
権利（英）
Doshisha Daigaku Shogakkai
The Association of Commerce Doshisha University
Capital expansion and reduction with fixed and proportional costs under demand ambiguity
017072060011.pdf
(575.76KB)
