Name
Title | ||
|---|---|---|
Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties |
Abstract | ||
|---|---|---|
•Introduces an approach for valuing option portfolios under exogenous and endogenous uncertainties.•Studies a portfolio of real options to defer, to stage, to mothball, and to abandon.•Considers endogenous, decision-dependent cost to completion and state-dependent salvage value.•Illustrates applicability of approach by valuing expansion of a district heating network.•Demonstrates that ignoring endogenous uncertainty can lead to substantial misvaluation. |
Year | DOI | Venue |
|---|---|---|
2020 | 10.1016/j.ejor.2019.01.055 | European Journal of Operational Research |
Keywords | DocType | Volume |
Stochastic optimisation,Stochastic processes,Real options portfolio,Endogenous uncertainty,Decision/state-dependent uncertainty | Journal | 285 |
Issue | ISSN | Citations |
1 | 0377-2217 | 0 |
PageRank | References | Authors |
0.34 | 0 | 3 |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Sebastian Maier | 1 | 0 | 0.68 |
| Georg Ch. Pflug | 2 | 19 | 3.40 |
| John Polak | 3 | 46 | 6.04 |