Lecture Notes in Economics and Mathematical Systems

Portfolios of Real Options

Authors: Brosch, Rainer

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About this book

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.

Reviews

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)

Table of contents (6 chapters)

Table of contents (6 chapters)

Buy this book

eBook $109.00
price for USA in USD
  • ISBN 978-3-540-78299-5
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Softcover $139.99
price for USA in USD
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Bibliographic Information

Bibliographic Information
Book Title
Portfolios of Real Options
Authors
Series Title
Lecture Notes in Economics and Mathematical Systems
Series Volume
611
Copyright
2008
Publisher
Springer-Verlag Berlin Heidelberg
Copyright Holder
Springer-Verlag Berlin Heidelberg
eBook ISBN
978-3-540-78299-5
DOI
10.1007/978-3-540-78299-5
Softcover ISBN
978-3-540-78298-8
Series ISSN
0075-8442
Edition Number
1
Number of Pages
XVI, 158
Number of Illustrations
27 b/w illustrations
Topics