How to cite this paper
Rebiasz, B. (2020). Selection of optimal portfolios of interdependent real options.Decision Science Letters , 9(2), 215-232.
Refrences
Bastian-Pinto, C., Brandão, T. & Hahn W.J. (2009) Flexibility as a source of value in the production of alternative fuels: The ethanol case. Energy Economics, 31, 411–422.
Betge, P. (1995). Investitionsplanung: Methoden - Modelle – Anwendungen. Wisbaden, Gabler.
Blank, F.F., Baydia, T.K.N. & Dias M.A. (2009). Private infrastructure investment through public private partnership: An application to a toll road highway concession in Brazil. 13th Annual International Conference on Real Options, Braga, Portugal & Santiago, Spain, pp. 1-21.
Bowe, M., & Lee ,D.L. (2004). Project evaluation in the presence of multiple embedded real options: evidence from the Taiwan High-Speed Rail Project. Journal of Asian Economics, 15, 71–98.
Brosch, R. (2001). Portfolio-aspects in real options management, Working Paper Series: Finance & Accounting, Faculty of Economics and Business Administration, Goethe University Frankfurt.
Brosch, R. (2008). Portfolios of Real Options, Springer-Verlag, Berlin.
Chien, C.F. (2004). A portfolio-evaluation framework for selecting R&D projects. R & D Management, 32, 359–368.
Childs, P.D., & Triantis, A.J. (1999). Dynamic R&D Investment Policies. Management Science, 45, 1359–1377.
Childs, P.D., Ott, S.H. & Triantis A.J. (1998). Capital budgeting for interrelated projects − A real options approach. Journal of Financial & Quantitative Analysis, 33, 305–334.
Copeland, T., Koller, T., & Murrin, J. (2015). Measuring and Managing the Value of Companies, Sixth Edition. McKinsey & Company, John Wiley & Sons, New York.
Denardo, E.V., Rothblum, U.G., & Van der Heyden, L. (2004). Index policies for stochastic search in a forest with an application to R&D project management. Mathematics of Operations Research, 29, 162–181.
Dickinson, M.W., Thomton A.C., & Graves S. (2001). Technology portfolio management, Optimizing interdependent projects over multiple time period, IEE Transaction on Engineering Management, 48, 518–527.
Francis, J.C. (1991). Investments: Analysis and Management. McGraw–Hill, New York.
Gustafsson, J., & Salo, A. (2005). Contingent portfolio programming for the management of risky projects. Operations Research, 53, 946–956.
Hax, H. (1985). Investionstheorie. Wurzburg-Wien 1985.
Hirsa, A., Neftci, S.N. (2014). An Introduction to the Mathematics of Financial Derivatives. Academic Press, Elsevier.
Huchzermeier, A., & Cohen M.A. (1996). Valuing operational flexibility under exchange rate risk. Operations Research, 44, 100–113.
Hull, J.C. (2006). Options, futures and other derivatives securities (6th ed.). Englewood Cliffs, NJ: Prentice Hall.
Kasanen, E., & Trigeorgis L. (1993). Flexibility, Synergy and Control, in Strategic Investment Planning. in: Aggarwal R. (Eds.), Capital Budgeting under Uncertainty, Prentice-Hall, Englewood Cliffs (NJ), pp. 208–231.
Kasanen, E. (1993) Creating value by spawning investment opportunities. Financial Management, 22, 251–258.
Kavadias, S., & Loch, C.H. (2004). Project selection under uncertainty: dynamically allocating resources to maximize value. International series in operations research & management science, Kluwer Academic Publishers, Boston (MA).
Kester, W.C. (1993). Turning Growth Options into Real Assets. in: Aggarwal R. (Eds..), Capital Budgeting under Uncertainty, Prentice-Hall, Englewood Cliffs (NJ), 187–207.
Kodukula, P., & Papudesu, C. (2006) Project Valuation Using Real Options, A Practitioner’s Guide, J. Ross Publishing Inc., USA.
Kogut, B., & Kulatilaka N. (1994). Operating flexibility, global manufacturing, and the option value of a multinational network. Management Science, 40, 123–139.
Kulatilaka, N. (1995). Operating Flexibilities in Capital Budgeting: Substitutability and Complementarity in Real Options. in: Trigeorgis L. (Eds..), Real Options in Capital Investment, Praeger, Westport (CT), 121–132.
Marathe, R., & Ryan, S.M. (2005) On the validity of the geometric brownian motion assumption. The Engineering Economist, 50, 1-40.
Markowitz, H.M. (1952). Portfolio selection, Journal of Finance, 7, 77-91.
Meier, H., Christofides, N. & Salkin, G. (2001), Capital budgeting under uncertainty – An integrated approach using contingent claims analysis and integer programming. Operations Research, 49, 196–206.
Muharam, F.M. (2011). Assessing risk for strategy formulation in steel industry through real options analysis. Journal of Global Strategic Management, 5, 5-15.
Myers, S. (1977). Determinants of corporate borrowing. Journal of Financial Economics, 5, 147−175.
Ozorio, L.M., Bastian-Pinto, C., Baidya, T.K.N., & Brandão, T. (2013). Investment decision in integrated steel plants under uncertainty. International Review of Financial Analysis, 27, 55–64.
Rebiasz, B. (2013). Selection of efficient portfolios–probabilistic and fuzzy approach, comparative study. Computers & Industrial Engineering, 64, 1019–1032.
Rebiasz, B., Gaweł, B., & Skalna, I. (2017). Valuing managerial flexibility: an application of real-option theory to steel industry investments. Operations Research and Decisions, 20, 91-111.
Rose, S. (1998). Valuation of interacting real options in a tollroad infrastructure project. Quarterly Review of Economics & Finance, 38, 711–723.
Santhanam, R., & Kyparisis, G.J. (1996). A decision model for interdependent information system project selection. European Journal of Operational Research, 89, 380–399.
Smith, J.L., & Thompson, R. (2008). Managing a portfolio of real options: Sequential exploration of dependent prospects. The Energy Journal, International Association for Energy Economics, 29, 43-62.
Triantis, A.J. (2005). Realizing the potential of real options: Does theory meet practice?. Journal of Applied Corporate Finance, 17, 8–16.
Triantis, A.J., & Hodder, J.E. (1990). Valuing flexibility as a complex option. Journal of Finance, 45, 549–565.
Trigeorgis, L., & Kasanen, E. (1991). An integrated options-based strategic planning and control model. Managerial Finance, 17, 16–28.
Trigeorgis, L. (1993). The nature of option interactions and the valuation of investments with multiple real options. Journal of Financial & Quantitative Analysis, 28, 1–20.
Trigeorgis, L. (1996). Real Options - Managerial Flexibility and Strategy in Resource Allocation. 4th ed., MIT Press, Cambrigde (MA).
Vassolo, R.S., Anand, J., & Folta T.B. (2004). Nonadditivity in portfolios of exploration activities: A real options-based analysis of equity alliances in biotechnology. Strategic Management Journal, 25, 1045–1061.
Wang, T., & de Neufville R. (2004) Building real options into physical systems with stochastic mixed-integer programming. Working Paper, 8th Annual International Conference on Real Options, 2004, pp. 1–35.
Wasilewska, M. (2013) Comparison between portfolios of real options and portfolios of financial options. Research Papers of Wroclaw University of Economics, 290, 128−135.
Wattanarat, V., Phimphavong, P., & Matsumaru, M. (2010) Demand and price forecasting models for strategic and planning decisions in a supply chain. Proceedings of the School of Information and Telecommunication Engineering, Tokai University, 3, 37-42.
Yang, I.T. (2005). Simulation−based estimation for correlated cost elements. International Journal of Project Management, 23, 275-282.
Zuluaga, A., Sefair J., & Medaglia, A. (2007). Model for the Selection and Scheduling of Interdependent Projects. Proceedings of the 2007 Systems and Information Engineering Design Symposium, Charlottesville, VA, IEEE, 1–7.
Betge, P. (1995). Investitionsplanung: Methoden - Modelle – Anwendungen. Wisbaden, Gabler.
Blank, F.F., Baydia, T.K.N. & Dias M.A. (2009). Private infrastructure investment through public private partnership: An application to a toll road highway concession in Brazil. 13th Annual International Conference on Real Options, Braga, Portugal & Santiago, Spain, pp. 1-21.
Bowe, M., & Lee ,D.L. (2004). Project evaluation in the presence of multiple embedded real options: evidence from the Taiwan High-Speed Rail Project. Journal of Asian Economics, 15, 71–98.
Brosch, R. (2001). Portfolio-aspects in real options management, Working Paper Series: Finance & Accounting, Faculty of Economics and Business Administration, Goethe University Frankfurt.
Brosch, R. (2008). Portfolios of Real Options, Springer-Verlag, Berlin.
Chien, C.F. (2004). A portfolio-evaluation framework for selecting R&D projects. R & D Management, 32, 359–368.
Childs, P.D., & Triantis, A.J. (1999). Dynamic R&D Investment Policies. Management Science, 45, 1359–1377.
Childs, P.D., Ott, S.H. & Triantis A.J. (1998). Capital budgeting for interrelated projects − A real options approach. Journal of Financial & Quantitative Analysis, 33, 305–334.
Copeland, T., Koller, T., & Murrin, J. (2015). Measuring and Managing the Value of Companies, Sixth Edition. McKinsey & Company, John Wiley & Sons, New York.
Denardo, E.V., Rothblum, U.G., & Van der Heyden, L. (2004). Index policies for stochastic search in a forest with an application to R&D project management. Mathematics of Operations Research, 29, 162–181.
Dickinson, M.W., Thomton A.C., & Graves S. (2001). Technology portfolio management, Optimizing interdependent projects over multiple time period, IEE Transaction on Engineering Management, 48, 518–527.
Francis, J.C. (1991). Investments: Analysis and Management. McGraw–Hill, New York.
Gustafsson, J., & Salo, A. (2005). Contingent portfolio programming for the management of risky projects. Operations Research, 53, 946–956.
Hax, H. (1985). Investionstheorie. Wurzburg-Wien 1985.
Hirsa, A., Neftci, S.N. (2014). An Introduction to the Mathematics of Financial Derivatives. Academic Press, Elsevier.
Huchzermeier, A., & Cohen M.A. (1996). Valuing operational flexibility under exchange rate risk. Operations Research, 44, 100–113.
Hull, J.C. (2006). Options, futures and other derivatives securities (6th ed.). Englewood Cliffs, NJ: Prentice Hall.
Kasanen, E., & Trigeorgis L. (1993). Flexibility, Synergy and Control, in Strategic Investment Planning. in: Aggarwal R. (Eds.), Capital Budgeting under Uncertainty, Prentice-Hall, Englewood Cliffs (NJ), pp. 208–231.
Kasanen, E. (1993) Creating value by spawning investment opportunities. Financial Management, 22, 251–258.
Kavadias, S., & Loch, C.H. (2004). Project selection under uncertainty: dynamically allocating resources to maximize value. International series in operations research & management science, Kluwer Academic Publishers, Boston (MA).
Kester, W.C. (1993). Turning Growth Options into Real Assets. in: Aggarwal R. (Eds..), Capital Budgeting under Uncertainty, Prentice-Hall, Englewood Cliffs (NJ), 187–207.
Kodukula, P., & Papudesu, C. (2006) Project Valuation Using Real Options, A Practitioner’s Guide, J. Ross Publishing Inc., USA.
Kogut, B., & Kulatilaka N. (1994). Operating flexibility, global manufacturing, and the option value of a multinational network. Management Science, 40, 123–139.
Kulatilaka, N. (1995). Operating Flexibilities in Capital Budgeting: Substitutability and Complementarity in Real Options. in: Trigeorgis L. (Eds..), Real Options in Capital Investment, Praeger, Westport (CT), 121–132.
Marathe, R., & Ryan, S.M. (2005) On the validity of the geometric brownian motion assumption. The Engineering Economist, 50, 1-40.
Markowitz, H.M. (1952). Portfolio selection, Journal of Finance, 7, 77-91.
Meier, H., Christofides, N. & Salkin, G. (2001), Capital budgeting under uncertainty – An integrated approach using contingent claims analysis and integer programming. Operations Research, 49, 196–206.
Muharam, F.M. (2011). Assessing risk for strategy formulation in steel industry through real options analysis. Journal of Global Strategic Management, 5, 5-15.
Myers, S. (1977). Determinants of corporate borrowing. Journal of Financial Economics, 5, 147−175.
Ozorio, L.M., Bastian-Pinto, C., Baidya, T.K.N., & Brandão, T. (2013). Investment decision in integrated steel plants under uncertainty. International Review of Financial Analysis, 27, 55–64.
Rebiasz, B. (2013). Selection of efficient portfolios–probabilistic and fuzzy approach, comparative study. Computers & Industrial Engineering, 64, 1019–1032.
Rebiasz, B., Gaweł, B., & Skalna, I. (2017). Valuing managerial flexibility: an application of real-option theory to steel industry investments. Operations Research and Decisions, 20, 91-111.
Rose, S. (1998). Valuation of interacting real options in a tollroad infrastructure project. Quarterly Review of Economics & Finance, 38, 711–723.
Santhanam, R., & Kyparisis, G.J. (1996). A decision model for interdependent information system project selection. European Journal of Operational Research, 89, 380–399.
Smith, J.L., & Thompson, R. (2008). Managing a portfolio of real options: Sequential exploration of dependent prospects. The Energy Journal, International Association for Energy Economics, 29, 43-62.
Triantis, A.J. (2005). Realizing the potential of real options: Does theory meet practice?. Journal of Applied Corporate Finance, 17, 8–16.
Triantis, A.J., & Hodder, J.E. (1990). Valuing flexibility as a complex option. Journal of Finance, 45, 549–565.
Trigeorgis, L., & Kasanen, E. (1991). An integrated options-based strategic planning and control model. Managerial Finance, 17, 16–28.
Trigeorgis, L. (1993). The nature of option interactions and the valuation of investments with multiple real options. Journal of Financial & Quantitative Analysis, 28, 1–20.
Trigeorgis, L. (1996). Real Options - Managerial Flexibility and Strategy in Resource Allocation. 4th ed., MIT Press, Cambrigde (MA).
Vassolo, R.S., Anand, J., & Folta T.B. (2004). Nonadditivity in portfolios of exploration activities: A real options-based analysis of equity alliances in biotechnology. Strategic Management Journal, 25, 1045–1061.
Wang, T., & de Neufville R. (2004) Building real options into physical systems with stochastic mixed-integer programming. Working Paper, 8th Annual International Conference on Real Options, 2004, pp. 1–35.
Wasilewska, M. (2013) Comparison between portfolios of real options and portfolios of financial options. Research Papers of Wroclaw University of Economics, 290, 128−135.
Wattanarat, V., Phimphavong, P., & Matsumaru, M. (2010) Demand and price forecasting models for strategic and planning decisions in a supply chain. Proceedings of the School of Information and Telecommunication Engineering, Tokai University, 3, 37-42.
Yang, I.T. (2005). Simulation−based estimation for correlated cost elements. International Journal of Project Management, 23, 275-282.
Zuluaga, A., Sefair J., & Medaglia, A. (2007). Model for the Selection and Scheduling of Interdependent Projects. Proceedings of the 2007 Systems and Information Engineering Design Symposium, Charlottesville, VA, IEEE, 1–7.