Optimal investment under operational flexibility, risk aversion, and uncertainty

DOI10.1016/j.ejor.2011.03.007zbMath1237.91222OpenAlexW2081986758MaRDI QIDQ421597

Michail Chronopoulos, De Reyck, Bert, Afzal S. Siddiqui

Publication date: 14 May 2012

Published in: European Journal of Operational Research (Search for Journal in Brave)

Full work available at URL: https://ink.library.smu.edu.sg/lkcsb_research/6755

zbMATH Keywords

real optionsdecision analysisrisk aversioninvestment under uncertaintyoperational flexibility

Mathematics Subject Classification ID

Management decision making, including multiple objectives (90B50) Corporate finance (dividends, real options, etc.) (91G50)

Related Items (21)

Optimal exercise of jointly held real options: a Nash bargaining approach with value diversion ⋮ Modifications of the Hurwicz's decision rule ⋮ On a decision rule supported by a forecasting stage based on the decision maker's coefficient of optimism ⋮ Entrepreneurial finance with equity-for-guarantee swap and idiosyncratic risk ⋮ Optimal Sequential Investment Decision-Making with Jump Risk ⋮ Platform flexibility strategies: R\&D investment versus production customization tradeoff ⋮ Time preference and real investment ⋮ Hysteresis due to irreversible exit: addressing the option to mothball ⋮ Valuing portfolios of interdependent real options under exogenous and endogenous uncertainties ⋮ Multi-period power utility optimization under stock return predictability ⋮ Possibilistic risk aversion in group decisions: theory with application in the insurance of giga-investments valued through the fuzzy pay-off method ⋮ The Impact of the Structure of the Payoff Matrix on the Final Decision made Under Uncertainty ⋮ Project net present value estimation under uncertainty ⋮ Model risk in real option valuation ⋮ Strategic technology switching under risk aversion and uncertainty ⋮ Capacity choice under uncertainty in a duopoly with endogenous exit ⋮ Optimal regime switching under risk aversion and uncertainty ⋮ Real options in operations research: a review ⋮ Prudence and preference for flexibility gain ⋮ Competition through capacity investment under asymmetric existing capacities and costs ⋮ Duopolistic competition under risk aversion and uncertainty

Cites Work

• Valuing the option to invest in an incomplete market
• Corporate control and real investment in incomplete markets
• Choosing among alternative discrete investment projects under uncertainty
• Investment and capacity choice under uncertain demand
• Real options with constant relative risk aversion
• Irreversible investment in alternative projects
• Investment and the Valuation of Firms When There is an Option to Shut Down

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