Name
Title | ||
|---|---|---|
Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression: A multi-stage stochastic integer programming approach |
Abstract | ||
|---|---|---|
•Introduces a valuation approach for portfolios of interdependent real options.•Uses influence diagrams to graphically model interdependencies between real options.•Translates interdependencies between real options into a set of constraints.•Presents a simulation-and-regression valuation algorithm with portfolio features.•Demonstrates capabilities of approach using a complex natural resource investment. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.cor.2018.06.017 | Computers & Operations Research |
Keywords | Field | DocType |
Real options portfolio,Influence diagram,Simulation-and-regression,Approximate dynamic programming,Natural resource investment | Decision analysis,Mathematical optimization,Markov process,Valuation of options,Stochastic process,Portfolio,Parametric statistics,Influence diagram,Valuation (finance),Mathematics | Journal |
Volume | Issue | ISSN |
115 | C | 0305-0548 |
Citations | PageRank | References |
0 | 0.34 | 14 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Sebastian Maier | 1 | 0 | 0.68 |
| John Polak | 2 | 46 | 6.04 |
| David Gann | 3 | 0 | 1.01 |