Thursday 1 December 2016, 2.00PM to 3.15pm
Speaker(s): Professor Jacco Thijssen, Chair of Finance, The York Management School, University of York
Abstract: We study the optimal investment/abandonment decision for a project, where costly sequential experimentation provides information about its true profitability. We derive the optimal decision rule by appropriately extending the Bayesian framework of sequential hypothesis testing. The optimal decision time takes the form of the first exit time of a particular inaction region. We find that increased noise in the observations lowers the value of the project, and that the effect on the expected time at which a decision is taken is ambiguous. Delays in observations affect both project value and the inaction region. The model is illustrated with a health technology assessment application using data on standard versus robot-assisted laporascopic prostatectomy.
Location: ARRC Auditorium A/RC/014
Who to contact
For more information on these seminars, contact:
Adrian Villasenor
Adrian Villasenor-Lopez
Dacheng Huo
Dacheng Huo
If you are not a member of University of York staff and are interested in attending the seminar, please contact Adrian Villasenor-Lopez or Dacheng Huo so that we can ensure we have sufficient space
CHE Seminar Programme
- Thursday 12 January 2017
Jon Sussex, Chief Economist, RAND Europe- Thursday 9 February 2017
Richard Murray, Kings Fund