| 来源类型 | Article
|
| 规范类型 | 其他
|
| DOI | 10.1016/j.ejor.2019.01.055
|
| Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties. |
| Maier S; Polak JW
|
| 发表日期 | 2019
|
| 出处 | European Journal of Operational Research
|
| 出版年 | 2019
|
| 语种 | 英语
|
| 摘要 | Although the value of portfolios of real options is often affected by both exogenous and endogenous sources of uncertainty, most existing valuation approaches consider only the former and neglect the latter. In this paper, we introduce an approach for valuing portfolios of interdependent real options under both types of uncertainty. In particular, we study a large portfolio of options (deferment, staging, mothballing, abandonment) under conditions of four underlying uncertainties. Two of the uncertainties, decision-dependent cost to completion and state-dependent salvage value, are endogenous, the other two, operating revenues and their growth rate, are exogenous. Assuming that endogenous uncertainties can be exogenised, we formulate the valuation problem as a discrete stochastic dynamic program. To approximate the value of this optimisation problem, we apply a simulation-and-regression-based approach and present an efficient valuation algorithm. The key feature of our algorithm is that it exploits the problem structure to explicitly account for reachability – that is the sample paths in which resource states can be reached. The applicability of the approach is illustrated by valuing an urban infrastructure investment. We conduct a reachability analysis and show that the presence of the decision-dependent uncertainty has adverse computational effects as it increases algorithmic complexity and reduces simulation efficiency. We investigate the way in which the value of the portfolio and its individual options are affected by the initial operating revenues, and by the degrees of exogenous and endogenous uncertainty. The results demonstrate that ignoring endogenous, decision- and state-dependent uncertainty can lead to substantial over- and under-valuation, respectively. |
| 主题 | Risk &
; Resilience (RISK)
|
| 关键词 | Stochastic optimisation
Stochastic processes
Real options
portfolio
Endogenous uncertainty
Decision/state-dependent uncertainty
|
| URL | http://pure.iiasa.ac.at/id/eprint/15806/
|
| 来源智库 | International Institute for Applied Systems Analysis (Austria)
|
| 引用统计 |
|
| 资源类型 | 智库出版物
|
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/131566
|
推荐引用方式
GB/T 7714 |
Maier S,Polak JW. Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties.. 2019.
|
|
文件名：
|
1-s2.0-S0377221719300906-main.pdf
|
|
格式：
|
Adobe PDF
|
此文件暂不支持浏览
除非特别说明，本系统中所有内容都受版权保护，并保留所有权利。
