Valuing portfolios of interdependent real options using influence diagrams and simulation-and-regression : a multi-stage stochastic integer programming approach
Sebastian Maier, John W. Polak, David M. Gann
| Year of publication: |
2020
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| Authors: | Maier, Sebastian ; Polak, John W. ; Gann, David M. |
| Published in: |
Computers & operations research : and their applications to problems of world concern ; an international journal. - Oxford [u.a.] : Elsevier, ISSN 0305-0548, ZDB-ID 194012-0. - Vol. 115.2020, p. 1-14
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| Subject: | Approximate dynamic programming | Influence diagram | Natural resource investment | Real options portfolio | Simulation-and-regression | Realoptionsansatz | Real options analysis | Mathematische Optimierung | Mathematical programming | Dynamische Optimierung | Dynamic programming | Portfolio-Management | Portfolio selection | Optionspreistheorie | Option pricing theory | Investitionsentscheidung | Investment decision |
| Type of publication: | Article |
|---|---|
| Type of publication (narrower categories): | Aufsatz in Zeitschrift ; Article in journal |
| Language: | English |
| Other identifiers: | 10.1016/j.cor.2018.06.017 [DOI] |
| Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012162625