Publicação
Optimal investment with two-factor uncertainty
| Resumo: | This paper presents a real options model to value the option to invest in a project contingent on two stochastic factors. A general sensitivity analysis is conducted highlighting the importance of the variance and correlation between the two variables. A higher correlation is shown to increase always the values of the trigger, the active project and the option. The impact of uncertainty is more complex and depends on the assumption about which variables adjust and the correlation between the variables and the market. |
|---|---|
| Autores principais: | Armada, Manuel José da Rocha |
| Outros Autores: | Pereira, Paulo Jorge; Rodrigues, Artur |
| Assunto: | Multiple stochastic factors Uncertainty Real options |
| Ano: | 2013 |
| País: | Portugal |
| Tipo de documento: | artigo |
| Tipo de acesso: | acesso restrito |
| Instituição associada: | Universidade do Minho |
| Idioma: | inglês |
| Origem: | RepositóriUM - Universidade do Minho |
| _version_ | 1866877302506258432 |
|---|---|
| author | Armada, Manuel José da Rocha |
| author2 | Pereira, Paulo Jorge Rodrigues, Artur |
| author2_role | author author |
| author_facet | Armada, Manuel José da Rocha Pereira, Paulo Jorge Rodrigues, Artur |
| author_role | author |
| contributor_name_str_mv | Universidade do Minho |
| country_str | PT |
| creators_json_txt | [{\"Person.name\":\"Armada, Manuel José da Rocha\"},{\"Person.name\":\"Pereira, Paulo Jorge\"},{\"Person.name\":\"Rodrigues, Artur\"}] |
| datacite.contributors.contributor.contributorName.fl_str_mv | Universidade do Minho |
| datacite.creators.creator.creatorName.fl_str_mv | Armada, Manuel José da Rocha Pereira, Paulo Jorge Rodrigues, Artur |
| datacite.date.Accepted.fl_str_mv | 2013-09-01T00:00:00Z |
| datacite.date.available.fl_str_mv | 2013-11-01T13:59:41Z |
| datacite.date.embargoed.fl_str_mv | 2013-11-01T13:59:41Z |
| datacite.rights.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| datacite.subjects.subject.fl_str_mv | Multiple stochastic factors Uncertainty Real options |
| datacite.titles.title.fl_str_mv | Optimal investment with two-factor uncertainty |
| dc.contributor.none.fl_str_mv | Universidade do Minho |
| dc.creator.none.fl_str_mv | Armada, Manuel José da Rocha Pereira, Paulo Jorge Rodrigues, Artur |
| dc.date.Accepted.fl_str_mv | 2013-09-01T00:00:00Z |
| dc.date.available.fl_str_mv | 2013-11-01T13:59:41Z |
| dc.date.embargoed.fl_str_mv | 2013-11-01T13:59:41Z |
| dc.format.none.fl_str_mv | application/pdf |
| dc.identifier.none.fl_str_mv | https://hdl.handle.net/1822/25930 |
| dc.language.none.fl_str_mv | eng |
| dc.publisher.none.fl_str_mv | Springer |
| dc.rights.none.fl_str_mv | http://purl.org/coar/access_right/c_16ec |
| dc.subject.none.fl_str_mv | Multiple stochastic factors Uncertainty Real options |
| dc.title.fl_str_mv | Optimal investment with two-factor uncertainty |
| dc.type.none.fl_str_mv | http://purl.org/coar/resource_type/c_6501 |
| description | This paper presents a real options model to value the option to invest in a project contingent on two stochastic factors. A general sensitivity analysis is conducted highlighting the importance of the variance and correlation between the two variables. A higher correlation is shown to increase always the values of the trigger, the active project and the option. The impact of uncertainty is more complex and depends on the assumption about which variables adjust and the correlation between the variables and the market. |
| dirty | 0 |
| eu_rights_str_mv | restrictedAccess |
| format | article |
| fulltext.url.fl_str_mv | https://prod-dspace.uminho.pt/bitstreams/fc8c6565-e7f4-415a-98bc-b9aa8e313540/download |
| id | rum_f81210dcaf3eea00a5bb3be57dae0152 |
| identifier.url.fl_str_mv | https://hdl.handle.net/1822/25930 |
| instacron_str | repositorium |
| institution | Universidade do Minho |
| instname_str | Universidade do Minho |
| language | eng |
| network_acronym_str | rum |
| network_name_str | RepositóriUM - Universidade do Minho |
| oai_identifier_str | oai:repositorium.uminho.pt:1822/25930 |
| organization_str_mv | urn:organizationAcronym:repositorium |
| person_str_mv | Armada, Manuel José da Rocha Pereira, Paulo Jorge Rodrigues, Artur |
| publishDate | 2013 |
| publisher.none.fl_str_mv | Springer |
| reponame_str | RepositóriUM - Universidade do Minho |
| repository_id_str | urn:repositoryAcronym:rum |
| service_str_mv | urn:repositoryAcronym:rum |
| spelling | engSpringerporThis paper presents a real options model to value the option to invest in a project contingent on two stochastic factors. A general sensitivity analysis is conducted highlighting the importance of the variance and correlation between the two variables. A higher correlation is shown to increase always the values of the trigger, the active project and the option. The impact of uncertainty is more complex and depends on the assumption about which variables adjust and the correlation between the variables and the market.application/pdfporOptimal investment with two-factor uncertaintyArmada, Manuel José da RochaPereira, Paulo JorgeRodrigues, ArturHostingInstitutionOrganizationalUniversidade do Minhoe-mailmailto:repositorium@usdb.uminho.ptrepositorium@usdb.uminho.ptISSNIsPartOf1862-9679ISSNIsPartOf1862-9660DOIIsPartOf10.1007/s11579-013-0101-12013-11-01T13:59:41Z2013-092013-09-01T00:00:00ZHandlehttps://hdl.handle.net/1822/25930http://purl.org/coar/access_right/c_16ecrestricted accessMultiple stochastic factorsUncertaintyReal options6660174 bytesliteraturehttp://purl.org/coar/resource_type/c_6501journal articlehttp://purl.org/coar/access_right/c_16ecapplication/pdffulltexthttps://prod-dspace.uminho.pt/bitstreams/fc8c6565-e7f4-415a-98bc-b9aa8e313540/download |
| spellingShingle | Optimal investment with two-factor uncertainty Armada, Manuel José da Rocha Multiple stochastic factors Uncertainty Real options |
| status | SINGLETON |
| subject.fl_str_mv | Multiple stochastic factors Uncertainty Real options |
| title | Optimal investment with two-factor uncertainty |
| title_full | Optimal investment with two-factor uncertainty |
| title_fullStr | Optimal investment with two-factor uncertainty |
| title_full_unstemmed | Optimal investment with two-factor uncertainty |
| title_short | Optimal investment with two-factor uncertainty |
| title_sort | Optimal investment with two-factor uncertainty |
| topic | Multiple stochastic factors Uncertainty Real options |
| topic_facet | Multiple stochastic factors Uncertainty Real options |
| url | https://hdl.handle.net/1822/25930 |
| visible | 1 |