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INCORPORATING RISK PREFERENCES INTO REAL OPTIONS MODELS AgEcon
Isik, Murat.
This paper develops a framework to link the expected utility analysis to real options models in order to capture the joint effects of risk aversion and irreversibility associated with real investments. It aims at modifying the theory of investment under uncertainty by incorporating decision makers' risk preferences and allows explicitly analyzing the impacts of risk aversion, uncertainty and irreversibility on decisions such as investment and resource allocations. It addresses the shortcomings of the commonly used expected utility and investment under uncertainty models be generalizing the theory of irreversible investment under uncertainty by allowing for risk-averse investors. We found that uncertainty, irreversibility and risk aversion are important...
Tipo: Conference Paper or Presentation Palavras-chave: Expected utility; Investment under uncertainty; Irreversibility; Real options; Risk aversion; Risk and Uncertainty; D81; G1.
Ano: 2004 URL: http://purl.umn.edu/20027
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Reale Optionen und Landwirtschaftliche Betriebslehre – oder: Kann man mit der Optionspreistheorie arbitrieren? AgEcon
Odening, Martin; Musshoff, Oliver.
This paper discusses the real options approach to investment. Real options facilitate an analysis of investment under uncertainty explicitly taking into account irreversibility of the investment decision and flexibility with respect to the investment timing. This is achieved by exploiting the analogy between a financial option and an investment project. We pinpoint the relation to traditional methods of capital budgeting as well as the special features of this concept, namely the exclusion of arbitrage opportunities and the independence of individual risk preferences. Analytical and numerical solution procedures for option pricing are presented. An application to investments in hog finishing illustrates the main ideas of the real options approach. It turns...
Tipo: Journal Article Palavras-chave: Real options; Investment under uncertainty; Flexibility; Contingent claim analysis; Hysteresis; Hog finishing; Farm Management; Risk and Uncertainty.
Ano: 2001 URL: http://purl.umn.edu/99004
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