Optimal investment with two-factor uncertainty

doi:10.1007/s11579-013-0101-1

Utilize este identificador para referenciar este registo: https://hdl.handle.net/1822/25930

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Campo DC	Valor	Idioma
dc.contributor.author	Armada, Manuel José da Rocha	-
dc.contributor.author	Pereira, Paulo Jorge	-
dc.contributor.author	Rodrigues, Artur	-
dc.date.accessioned	2013-11-01T13:59:41Z	-
dc.date.available	2013-11-01T13:59:41Z	-
dc.date.issued	2013-09	-
dc.identifier.issn	1862-9679	por
dc.identifier.issn	1862-9660	por
dc.identifier.uri	https://hdl.handle.net/1822/25930	-
dc.description.abstract	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.	por
dc.description.sponsorship	COMPETE, QREN, FEDER, Fundação para a Ciência e a Tecnologia (FCT)	por
dc.language.iso	eng	por
dc.publisher	Springer	por
dc.rights	restrictedAccess	por
dc.subject	Multiple stochastic factors	por
dc.subject	Uncertainty	por
dc.subject	Real options	por
dc.title	Optimal investment with two-factor uncertainty	por
dc.type	article	por
dc.peerreviewed	yes	por
dc.relation.publisherversion	http://link.springer.com/article/10.1007%2Fs11579-013-0101-1#page-1	por
sdum.publicationstatus	published	por
oaire.citationStartPage	509	por
oaire.citationEndPage	530	por
oaire.citationIssue	4	por
oaire.citationTitle	Mathematics and financial economics	por
oaire.citationVolume	7	por
dc.identifier.doi	10.1007/s11579-013-0101-1	-
dc.subject.wos	Social Sciences	por
dc.subject.wos	Science & Technology	por
sdum.journal	Mathematics and financial economics	por
Aparece nas coleções:	NIPE - Artigos em Revistas de Circulação Internacional com Arbitragem Científica