Project CEMAPRE internal
|Title||Stochastic optimization and decisions under uncertainty|
|Participants||Manuel Guerra (Principal Investigator)|
|Summary||This project deals with the characterization of optimal strategies in the presence of uncertainty|
modeled by stochastic processes. Two main problems are investigated: real options and portfolio
management in illiquid markets.
We study several types of real options, including exit options, suspension options, investment
decisions and other decisions linked with productive capacity. Different types of underlying
stochastic processes are considered.
Concerning illiquid markets, we will focus on the study of the consequences of synchronized
behaviour by a large number of investors in the market. Such synchronization is often pointed as a
cause for episodes of very high market volatility and crashes in assets prices.
These two types of problems will be combined in models that consider the management of the portfolio
under market illiquidity and the possibility of investment in new projects at the best moment.
Different decisions about productive capacity can be reflected in these new models. Finally, the
analysis of the robustness of the models will be present in this research project.