Optimal investment under operational flexibility, risk aversion, and uncertainty
作者: Michail ChronopoulosBert De ReyckAfzal Siddiqui
作者单位: 1Department of Statistical Science, University College London, London WC1E 6BT, United Kingdom
2Department of Management Science & Innovation, University College London, London WC1E 6BT, United Kingdom
3Department of Computer and Systems Sciences, Stockholm University, Stockholm, Sweden
4London Business School, Regent’s Park, London NW1 4SA, United Kingdom
刊名: European Journal of Operational Research, 2011, Vol.213 (1), pp.221-237
来源数据库: Elsevier Journal
DOI: 10.1016/j.ejor.2011.03.007
关键词: Decision analysisInvestment under uncertaintyReal optionsOperational flexibilityRisk aversion
英文摘要: Abstract(#br)Traditional real options analysis addresses the problem of investment under uncertainty assuming a risk-neutral decision maker and complete markets. In reality, however, decision makers are often risk averse and markets are incomplete. We confirm that risk aversion lowers the probability of investment and demonstrate how this effect can be mitigated by incorporating operational flexibility in the form of embedded suspension and resumption options. Although such options facilitate investment, we find that the likelihood of investing is still lower compared to the risk-neutral case. Risk aversion also increases the likelihood that the project will be abandoned, although this effect is less pronounced. Finally, we illustrate the impact of risk aversion on the optimal suspension...
全文获取路径: Elsevier  (合作)
影响因子:2.038 (2012)