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Evaluation of real options portfolio for investment projects

Author

Listed:
  • Loukianova, A.
  • Nurullaev, D.

Abstract

The goal of this paper is to offer recommendations for evaluating the portfolio of real options in investment projects. The study reviews the real options methodology, analyses real options valuation models, and formulates methodology for valuing real options portfolio. The proposed approach was tested using the example of a company that produces shale oil. As a result, the mechanism for assessing the portfolio of real options and their application was offered to managers who are engaged in the evaluation of investment projects.

Suggested Citation

  • Loukianova, A. & Nurullaev, D., 2018. "Evaluation of real options portfolio for investment projects," Working Papers 15114, Graduate School of Management, St. Petersburg State University.
    • Handle: RePEc:sps:wpaper:15114
    as

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    File URL: https://dspace.spbu.ru/handle/11701/15114
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    References listed on IDEAS

    as
    1. Rainer Brosch, 2008. "Portfolios of Real Options," Lecture Notes in Economics and Mathematical Systems, Springer, number 978-3-540-78299-5, December.
    2. Janne Gustafsson & Ahti Salo, 2005. "Contingent Portfolio Programming for the Management of Risky Projects," Operations Research, INFORMS, vol. 53(6), pages 946-956, December.
    3. Lenos Trigeorgis, 1993. "Real Options and Interactions With Financial Flexibility," Financial Management, Financial Management Association, vol. 22(3), Fall.
    4. Bruce Kogut, 1991. "Joint Ventures and the Option to Expand and Acquire," Management Science, INFORMS, vol. 37(1), pages 19-33, January.
    5. Avinash K. Dixit & Robert S. Pindyck, 1994. "Investment under Uncertainty," Economics Books, Princeton University Press, edition 1, number 5474.
    6. Paul D. Childs & Alexander J. Triantis, 1999. "Dynamic R&D Investment Policies," Management Science, INFORMS, vol. 45(10), pages 1359-1377, October.
    7. Trigeorgis, Lenos, 1991. "A Log-Transformed Binomial Numerical Analysis Method for Valuing Complex Multi-Option Investments," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 26(3), pages 309-326, September.
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    Keywords

    real options; valuation; risk-management; investments; real options portfolio; shale oil production;
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