scholarly journals Real Options and Game Theory, an alternative method to the replicating portfolio approach

2011 ◽  
Keyword(s):  
Game Theory ◽  
Real Options ◽  
Alternative Method ◽  
Portfolio Approach ◽  
Replicating Portfolio

scholarly journals Mathematical Foundation of the Replicating Portfolio Approach

2016 ◽  
Author(s):  
Jan Natolski ◽  
Ralf Werner
Keyword(s):  
Mathematical Foundation ◽  
Portfolio Approach ◽  
Replicating Portfolio

A dynamic CVaR-portfolio approach using real options: an application to energy investments

2010 ◽  
Vol 21 (6) ◽  
pp. 1825-1841 ◽  
Author(s):  
Jana Szolgayová ◽  
Sabine Fuss ◽  
Nikolay Khabarov ◽  
Michael Obersteiner
Keyword(s):  
Real Options ◽  
Portfolio Approach

A multi-criteria game theory and real-options model for irreversible ICT investment decisions

2009 ◽  
Vol 33 (10-11) ◽  
pp. 686-705 ◽  
Author(s):  
Georgios N. Angelou ◽  
Anastasios A. Economides
Keyword(s):  
Game Theory ◽  
Real Options ◽  
Investment Decisions

Strategy as Options Games

2015 ◽  
Author(s):  
Han Smit ◽  
Thras Moraitis
Keyword(s):  
Game Theory ◽  
Decision Making ◽  
Real Options ◽  
Strategic Decision ◽  
Strategic Decision Making ◽  
Growth Opportunities ◽  
Conceptual Approach ◽  
Market Conditions ◽  
Acquisition Strategy ◽  
Major Pharmaceutical Company

This chapter develops a framework for assessing the value generated by both the option-like and competitive characteristics of an acquisition strategy. The conceptual approach is based on real options and principles from game theory. It illustrates the approach with an example of how real options and games thinking were used in strategic decision making at a major pharmaceutical company. The method treats an acquisition strategy as a package of corporate real options actively managed by the firm in a context of competitive responses or changing market conditions. This framework can help management answer several questions that are important for a successful acquisition strategy: How valuable are the growth opportunities created by the acquisition? How can we best sequence the acquisition options in the strategy? When is it appropriate to grow organically, and when are strategic acquisitions the preferred route? How is the industry likely to respond, and how will that affect the value of our acquisitions and future targets? The subsequent sections present a series of frameworks to address these questions.

scholarly journals Mathematical foundation of the replicating portfolio approach

2017 ◽  
Vol 2018 (6) ◽  
pp. 481-504 ◽  
Author(s):  
Jan Natolski ◽  
Ralf Werner
Keyword(s):  
Mathematical Foundation ◽  
Portfolio Approach ◽  
Replicating Portfolio

A dynamic CVaR-portfolio approach using real options: An application to energy investments

2009 ◽  
Author(s):  
J. Szolgayova ◽  
S. Fuss ◽  
N. Khabarov ◽  
M. Obersteiner
Keyword(s):  
Real Options ◽  
Portfolio Approach

scholarly journals Strategic Investment under Uncertainty: Merging Real Options with Game Theory

Real Options ◽  
2004 ◽  
pp. 97-124
Author(s):  
Kuno J. M. Huisman ◽  
Peter M. Kort ◽  
Grzegorz Pawlina ◽  
Jacco J. J. Thijssen
Keyword(s):  
Game Theory ◽  
Real Options ◽  
Investment Under Uncertainty ◽  
Strategic Investment

scholarly journals Strategic Investment Under Uncertainty: Merging Real Options with Game Theory

2003 ◽  
Author(s):  
Kuno J.M. Huisman ◽  
Peter M. Kort ◽  
Grzegorz Pawlina ◽  
Jacco Thijssen
Keyword(s):  
Game Theory ◽  
Real Options ◽  
Investment Under Uncertainty ◽  
Strategic Investment

Airbus and Boeing: Superjumbo Decisions

2017 ◽  
pp. 1-7
Author(s):  
Samuel E. Bodily ◽  
Kenneth C. Lichtendahl
Keyword(s):  
Game Theory ◽  
Decision Tree ◽  
Decision Analysis ◽  
Real Options ◽  
Subjective Probability ◽  
Development Effort ◽  
Probability Assessment ◽  
Final Exam ◽  
Modeling Simulation ◽  
Tree Modeling

Set in 1999, this case allows students to put themselves in the positions of both Airbus and Boeing as Boeing considered how to respond to Airbus's decision to announce its plans to proceed or not with the $10 billion development of the world's first commercial superjumbo jet, the Airbus A3XX. Boeing was considering a development effort to “stretch” its 747 jumbo jet into a larger superjumbo version, the 747-X. At the time, the two companies’ widely available 20-year forecasts for jumbo- and superjumbo-jet demand were particularly divergent. In light of this very public “agreement to disagree,” Boeing could pursue several alternatives, all of which were related to Airbus's decision about whether or not to develop the A3XX. This case presents an opportunity for students to make a real downstream decision. It was prepared as a final exam for an introductory decision analysis course involving subjective probability assessment, decision tree modeling, simulation, real options, and game theory. In the analysis of this case, a student is expected to utilize ideas from all five of these areas.

How to mine gold without digging

2019 ◽  
Vol 06 (01) ◽  
pp. 1950009
Author(s):  
Kevin Guo ◽  
Tim Leung ◽  
Brian Ward
Keyword(s):  
Optimal Control ◽  
Kalman Filter ◽  
Real Options ◽  
Factor Loadings ◽  
Proposed Model ◽  
Two Factors ◽  
Replicating Portfolio

This paper examines the main drivers of the returns of gold miner stocks and ETFs during 2006–2017. We solve a combined optimal control and stopping problem to demonstrate that gold miner equities behave like real options on gold. Inspired by our proposed model, we construct a method to dynamically replicate gold miner stocks using two factors: the spot gold ETF and market equity portfolio. Furthermore, through each firm’s factor loadings on the replicating portfolio, we dynamically infer the firm’s implied leverage parameters of our model using the Kalman Filter. We find that our approach can explain a significant portion of the drivers of firm implied gold leverage. We posit that gold miner companies hold additional real options which help mitigate firm downside volatility, but these real options contribute to lower returns relative to the replicating portfolio when gold returns are positive.

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