IDEAS home Printed from https://ideas.repec.org/
MyIDEAS: Login to save this article or follow this journal

Construction d'un portefeuille sous-jacent virtuel

  • Sophie Pardo
  • Robert Kast
  • André Lapied

Real 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.

If you experience problems downloading a file, check if you have the proper application to view it first. In case of further problems read the IDEAS help page. Note that these files are not on the IDEAS site. Please be patient as the files may be large.

File URL: http://www.cairn.info/load_pdf.php?ID_ARTICLE=RECO_553_0407
Download Restriction: free

File URL: http://www.cairn.info/revue-economique-2004-3-page-407.htm
Download Restriction: free

Article provided by Presses de Sciences-Po in its journal Revue économique.

Volume (Year): 55 (2004)
Issue (Month): 3 ()
Pages: 407-418

as
in new window

Handle: RePEc:cai:recosp:reco_553_0407
Contact details of provider: Web page: http://www.cairn.info/revue-economique.htm

No references listed on IDEAS
You can help add them by filling out this form.

This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

When requesting a correction, please mention this item's handle: RePEc:cai:recosp:reco_553_0407. See general information about how to correct material in RePEc.

For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Jean-Baptiste de Vathaire)

If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

If references are entirely missing, you can add them using this form.

If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

Please note that corrections may take a couple of weeks to filter through the various RePEc services.

This information is provided to you by IDEAS at the Research Division of the Federal Reserve Bank of St. Louis using RePEc data.