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Construction d'un portefeuille sous-jacent virtuel

Listed author(s):
  • 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.

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

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

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Handle: RePEc:cai:recosp:reco_553_0407
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