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Portfolios of Real Options: Lecture Notes in Economics and Mathematical Systems, cartea 611

Autor Rainer Brosch
en Limba Engleză Paperback – 11 apr 2008
Valuing portfolios of options embedded in investment decisions is arguably one of the most important and challenging problems in real options and corporate ?nance in general. Although the problem is common and vitally important in the value creation process of almost any corporation, it has not yet been satisfactorily addressed. It is key for any corporation facing strategic resource allocation decisions, be it a pharmaceutical ?rm valuing and managing its pipeline of drugs, a telecom company having to select a set of technological alternatives, a venture capital or private equity ?rm investing in a portfolio of ventures, or any company allocating resources. Portfolios of real options typically interact such that the value of the whole differs from the sum of the separate parts. Thus one must address and value the particular con?guration of options embedded in a speci?c situation, taking into account the con?guration of other options already present in the portfolio, which in turn depends on the correlation struc ture among the various underlying assets and the strategic dependencies among the options themselves (e. g. , mutual exclusivity, strategic additiv ity, compoundness, complementarity etc. ). In that sense, optimal decisions also depend on past option exercise decisions by management and organi zational capabilities put in place in the past.
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Specificații

ISBN-13: 9783540782988
ISBN-10: 3540782982
Pagini: 176
Ilustrații: XVI, 158 p. 27 illus.
Dimensiuni: 155 x 235 x 9 mm
Greutate: 0.25 kg
Ediția:2008
Editura: Springer Berlin, Heidelberg
Colecția Springer
Seria Lecture Notes in Economics and Mathematical Systems

Locul publicării:Berlin, Heidelberg, Germany

Public țintă

Research

Cuprins

Portfolio Approach to Real Options.- Literature Review.- Valuation Model for Portfolios of Real Options.- Numerical Analysis.- Conclusion.

Recenzii

From the reviews:
“This book develops a modeling approach for dynamic investment problems where limited resources are allocated to interacting risky projects over time under the assumption that the market is complete and the agent is risk neutral. The author sets up the pricing model as a real options problem involving path-dependent (dis-) investment decisions. … this book provides an important reference for both the practitioners and academics in this field.” (Zhaojun Yang, Mathematical Reviews, Issue 2012 i)

Textul de pe ultima copertă

OR Society Award 2008!
For his excellent monograph, Rainer Brosch won the German OR Society Award 2008 for outstanding theses in the field of Operations Research in September 2008.
"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.

Caracteristici

Includes supplementary material: sn.pub/extras