© 1988

Sequential Binary Investment Decisions

A Bayesian Approach


Part of the Lecture Notes in Economics and Mathematical Systems book series (LNE, volume 313)

Table of contents

  1. Front Matter
    Pages I-VI
  2. Werner Jammernegg
    Pages 1-9
  3. Werner Jammernegg
    Pages 10-23
  4. Werner Jammernegg
    Pages 24-83
  5. Werner Jammernegg
    Pages 84-146
  6. Werner Jammernegg
    Pages 147-147
  7. Back Matter
    Pages 148-159

About this book


This book describes some models from the theory of investment which are mainly characterized by three features. Firstly, the decision-maker acts in a dynamic environment. Secondly, the distributions of the random variables are only incompletely known at the beginning of the planning process. This is termed as decision-making under conditions of uncer­ tainty. Thirdly, in large parts of the work we restrict the analysis to binary decision models. In a binary model, the decision-maker must choose one of two actions. For example, one decision means to undertake the invest­ ·ment project in a planning period, whereas the other decision prescribes to postpone the project for at least one more period. The analysis of dynamic decision models under conditions of uncertainty is not a very common approach in economics. In this framework the op­ timal decisions are only obtained by the extensive use of methods from operations research and from statistics. It is the intention to narrow some of the existing gaps in the fields of investment and portfolio analysis in this respect. This is done by combining techniques that have been devel­ oped in investment theory and portfolio selection, in stochastic dynamic programming, and in Bayesian statistics. The latter field indicates the use of Bayes' theorem for the revision of the probability distributions of the random variables over time.


Investment Portfolio Model algorithms cash flow distribution dynamic programming organization organizations portfolio portfolio theory programming science and technology statistics strategy transition

Authors and affiliations

  1. 1.Institut für Statistik, Ökonometrie und Operations ResearchKarl-Franzens-Universität GrazGrazAustria

Bibliographic information

  • Book Title Sequential Binary Investment Decisions
  • Book Subtitle A Bayesian Approach
  • Authors Werner Jammernegg
  • Series Title Lecture Notes in Economics and Mathematical Systems
  • DOI
  • Copyright Information Springer-Verlag Berlin Heidelberg 1988
  • Publisher Name Springer, Berlin, Heidelberg
  • eBook Packages Springer Book Archive
  • Softcover ISBN 978-3-540-50034-6
  • eBook ISBN 978-3-642-46646-5
  • Series ISSN 0075-8442
  • Edition Number 1
  • Number of Pages VI, 156
  • Number of Illustrations 0 b/w illustrations, 0 illustrations in colour
  • Topics Finance, general
    Operations Research/Decision Theory
  • Buy this book on publisher's site