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SUMMARY:Igor Kravchenko (CEMAT and IST)
DTSTART:20200618T100000Z
DTEND:20200618T110000Z
DTSTAMP:20260423T003301Z
UID:ProbStat/2
DESCRIPTION:Title: <a href="https://researchseminars.org/talk/ProbStat/2/"
 >Investment problem with switching modes</a>\nby Igor Kravchenko (CEMAT an
 d IST) as part of Probability & Statistics  (IST-CEMAT\, FC-CEAUL\, ULisbo
 n)\n\n\nAbstract\nIn this talk we will look at the optimal control problem
  of a firm that may operate in two different modes\, one being more risky 
 than the other\, in the sense that in case the demand decreases\, the retu
 rn of the risky mode is lower than with the more conservative mode. On the
  other side\, in case the demand increases\, the opposite holds. The switc
 hes between these two alternative modes have associated costs. In both mod
 es\, there is the option to exit the market.\nWe will focus on two differe
 nt parameter scenarios\, that describe particular (and somehow extreme) ec
 onomic situations. In the first scenario\, we assume that the market is ex
 pected to increase in such a way that once the firm is producing in the mo
 re risky mode\, it is never optimal to switch to the more conservative one
 . In the second scenario\, there is a hysteresis region\, where the firm i
 s waiting in the more risky mode\, in production\, until some drop or incr
 ease in the demand leads to an exit or changing to the more conservative m
 ode. This hysteresis region cannot be attained under continuous production
 .\nWe then address the problem of the optimal time to invest under each si
 tuation. Depending on the relation between the switching costs (equal or d
 ifferent from one mode to another)\, it may happen that the firm invests i
 n the hysteresis region. <br>\nJoint work with Cláudia Nunes and Carlos O
 liveira\n
LOCATION:https://researchseminars.org/talk/ProbStat/2/
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