Optimization of a portfolio of investment projects : a real options approach using the Omega measure
Year of publication: |
2021
|
---|---|
Authors: | Castro, Javier Gutiérrez ; Tito, Edison Americo Huarsaya ; Brandão, Luiz Eduardo Teixeira |
Published in: |
Journal of risk and financial management : JRFM. - Basel : MDPI, ISSN 1911-8074, ZDB-ID 2739117-6. - Vol. 14.2021, 11, Art.-No. 530, p. 1-17
|
Subject: | risk-return | real options | Monte Carlo simulation | portfolio optimization | Omega measure | Portfolio-Management | Portfolio selection | Realoptionsansatz | Real options analysis | Monte-Carlo-Simulation | Optionspreistheorie | Option pricing theory | Portfolio-Investition | Foreign portfolio investment |
Type of publication: | Article |
---|---|
Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
Language: | English |
Other identifiers: | 10.3390/jrfm14110530 [DOI] hdl:10419/258633 [Handle] |
Source: | ECONIS - Online Catalogue of the ZBW |
-
A real options perspective on R&D portfolio diversification
Bekkum, Sjoerd van, (2008)
-
Dynamic capital allocation with irreversible investments
Bauer, Daniel, (2019)
-
Optimal portfolio choice with housing and tenure decisions
Coggi, Patrick, (2009)
- More ...
-
Crypto-assets portfolio optimization under the omega measure
Castro, Javier Gutiérrez, (2020)
-
Valuing the switching flexibility of the ethanol-gas flex fuel car
Bastian-Pinto, Carlos de Lamare, (2010)
-
The value of switching inputs in a biodiesel production plant
Brandão, Luiz Eduardo Teixeira, (2013)
- More ...