Chronopoulos, M;
De Reyck, B;
Siddiqui, AS;
(2014)
Duopolistic Competition under Risk Aversion and Uncertainty.
European Journal of Operational Research
, 236
(2)
643 - 656.
10.1016/j.ejor.2014.01.018.
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Abstract
A monopolist typically defers entry into an industry as both price uncertainty and the level of risk aversion increase. By contrast, the presence of a rival typically hastens entry under risk neutrality. Here, we examine these two opposing effects in a duopoly setting. We demonstrate that the value of a firm and its entry decision behave differently with risk aversion and uncertainty depending on the type of competition. Interestingly, if the leader’s role is defined endogenously, then higher uncertainty makes her relatively better off, whereas with the roles exogenously defined, the impact of uncertainty is ambiguous.
| Type: | Article |
|---|---|
| Title: | Duopolistic Competition under Risk Aversion and Uncertainty |
| Open access status: | An open access version is available from UCL Discovery |
| DOI: | 10.1016/j.ejor.2014.01.018 |
| Publisher version: | http://dx.doi.org/10.1016/j.ejor.2014.01.018 |
| Additional information: | �© 2014 The Authors. Published by Elsevier B.V. All rights reserved. This is an open-access article distributed under the terms of the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original author and source are credited. |
| Keywords: | Investment analysis; Real options; Competition; Risk aversion; |
| UCL classification: | UCL UCL > Provost and Vice Provost Offices > UCL BEAMS UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Engineering Science > UCL School of Management UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences UCL > Provost and Vice Provost Offices > UCL BEAMS > Faculty of Maths and Physical Sciences > Dept of Statistical Science |
| URI: | https://discovery.ucl.ac.uk/id/eprint/1417441 |
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