Portfolios of Real Options
E-Book
Portfolios of Real Options
"Valuing portfolios of options embedded in investment decisions is one of the most important and challenging problems in real options and corporate finance in general. It is important for any corporation facing strategic resource allocation decisions, be it in pharma managing the pipeline of drugs, in telecom selecting a set of technological alternatives, or in venture capital or private equity investing in a portfolio of ventures. This work tackles real options decision making from a portfolio perspective head on within an overall budget constraint context in which interdependencies among optional decisions at each point in time and dynamically over time are explicitly considered. The proposed framework makes an important theoretical contribution in addressing this problem, while at the same time it can be of significant value to practicing managers in facing this admittedly complex and difficult task of evaluating, managing and optimally exercising interdependent corporate real options." Lenos Trigeorgis, Bank of Cyprus Chair Professor of Finance at the University of Cyprus and President of the Research and Consulting Firm Real Options Group in Nicosia, Cyprus.
1;Foreword;6 2;Preface;8 3;Contents;10 4;List of Abbreviations, Variables, and Functions;14 5;1 Introduction;16 5.1;1.1 Research Questions;18 5.2;1.2 Contribution and Main Results;18 5.3;1.3 Structure;20 6;2 Portfolio Approach to Real Options;22 6.1;2.1 Motivation of the Portfolio Approach to Real Options;22 6.2;2.2 Implications for Modeling Approach;28 7;3 Literature Review;35 7.1;3.1 Financial Portfolio Theory;35 7.2;3.2 Corporate Capital Budgeting;46 7.3;3.3 Financial and Real Options Theory;50 8;4 Valuation Model for Portfolios of Real Options;59 8.1;4.1 Model Features;59 8.2;4.2 Binomial Option Pricing;70 8.3;4.3 Real Options Portfolio Model;75 8.4;4.4 Model Extensions;92 8.5;4.5 Model Discussion;97 9;5 Numerical Analysis;106 9.1;5.1 Numerical Analysis for Two Underlying Assets;107 9.2;5.2 Extension of the Numerical Analysis to Three Underlying Assets;128 9.3;5.3 Numerical Summary;140 10;6 Conclusion;143 10.1;6.1 Summary of Results;143 10.2;6.2 Managerial Implications;147 10.3;6.3 Further Applications and Future Research;148 11;References;150 12;Index;162 13;List of Tables;164 14;List of Figures;165
Brosch, Rainer
| ISBN | 9783540782995 |
|---|---|
| Artikelnummer | 9783540782995 |
| Medientyp | E-Book - PDF |
| Auflage | 2. Aufl. |
| Copyrightjahr | 2008 |
| Verlag | Springer-Verlag |
| Umfang | 168 Seiten |
| Sprache | Englisch |
| Kopierschutz | Digitales Wasserzeichen |
