Construction d'un portefeuille sous-jacent virtuel
AbstractReal option theory, used for valuing investments or solve optimal time schedule problems, is based on the existence of a relevant underlying security. However, in most applied works, there is no obvious asset connected with the risk to value. One of the main difficulty, in applying real option theory to public investments, is to determine a relevant underlying asset. In this paper, we propose a method for constructing a virtual underlying security as a portfolio of marketed assets, optimizing the functional correlation coefficient. We propose two examples using real data concerning copper industry.Classification JEL : C13, C14, D81, G12, G13.
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Bibliographic InfoArticle provided by Presses de Sciences-Po in its journal Revue économique.
Volume (Year): 55 (2004)
Issue (Month): 3 ()
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Find related papers by JEL classification:
- C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
- C14 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Semiparametric and Nonparametric Methods: General
- D81 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Criteria for Decision-Making under Risk and Uncertainty
- G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
- G13 - Financial Economics - - General Financial Markets - - - Contingent Pricing; Futures Pricing
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- Robert Kast, 2011. "Managing financial risks due to natural catastrophes," Working Papers hal-00610241, HAL.
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