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Un modelo de opciones reales fuzzy y funciones de utilidad isoelásticas para valorar I&D en mercados incompletos / A fuzzy real options and isoelastic utility functions model for valuation R&D in incomplete markets

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  • Milanesi S., Gastón

    (Departamento de Ciencias, Administración-Universidad Nacional del Sur CEPAF Centro de Estudios para Análisis Financiero-Facultad de Ciencias Económicas, Universidad de Buenos Aires)

Abstract

Los modelos de valoración a través de opciones reales son apropiados para cuantificar la flexibilidad estratégica contenida en proyectos, como empresas de base tecnológica, activos intangibles y estrategias innovadoras. Su debilidad reside en el supuesto de mercados completos, condición difícil de cumplir en mercados emergentes. Por tal motivo, se desarrolla un modelo que combina el binomial borroso y funciones isoelásticas de utilidad (CRRA), incorporando grados de aversión al riesgo del agente. La metodología anterior se aplica a un proyecto biofarmaceútico con opciones secuenciales, utilizando análisis de sensibilidad sobre el coeficiente de aversión y el valor de la opción. Se concluye sobre las ventajas del modelo, en particular modelando ambigüedad con lógica borrosa e incorporando actitudes frente al riesgo. / The real options model are appropiate to quantify strategic flexibility in projects, such as technological basis firms (TBF), intangibles assets and innovatives strategies. Its weakness resides in the complete markets assumption, which is rarely found in emerging markets. Therefore a model that combines the binomial fuzzy and the isoelastic utility funtion (CRRA) was developed, which incorporates the agent´s degree risk aversion. Such model is applied to a biofarmaceutical project with secuencial options, using a sensibility analysis over the risk aversion coefficients and the option value. The conclusions deals with the advantages of the model, specifically with modeling ambiguity with fuzzy logic and incorporating risk attitudes.

Suggested Citation

  • Milanesi S., Gastón, 2018. "Un modelo de opciones reales fuzzy y funciones de utilidad isoelásticas para valorar I&D en mercados incompletos / A fuzzy real options and isoelastic utility functions model for valuation R&D in inco," Estocástica: finanzas y riesgo, Departamento de Administración de la Universidad Autónoma Metropolitana Unidad Azcapotzalco, vol. 8(2), pages 205-232, julio-dic.
  • Handle: RePEc:sfr:efruam:v:8:y:2018:i:2:p:205-232
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    More about this item

    Keywords

    opciones reales; binomial fuzzy; función isoelástica de utilidad; empresas de base tecnológica / real options; binomial Fuzzy; isoelastic utility uunction; technological basis firms;
    All these keywords.

    JEL classification:

    • G30 - Financial Economics - - Corporate Finance and Governance - - - General
    • G32 - Financial Economics - - Corporate Finance and Governance - - - Financing Policy; Financial Risk and Risk Management; Capital and Ownership Structure; Value of Firms; Goodwill

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