کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
480772 | 1446098 | 2011 | 17 صفحه PDF | دانلود رایگان |
![عکس صفحه اول مقاله: Optimal investment under operational flexibility, risk aversion, and uncertainty Optimal investment under operational flexibility, risk aversion, and uncertainty](/preview/png/480772.png)
Traditional real options analysis addresses the problem of investment under uncertainty assuming a risk-neutral decision maker and complete markets. In reality, however, decision makers are often risk averse and markets are incomplete. We confirm that risk aversion lowers the probability of investment and demonstrate how this effect can be mitigated by incorporating operational flexibility in the form of embedded suspension and resumption options. Although such options facilitate investment, we find that the likelihood of investing is still lower compared to the risk-neutral case. Risk aversion also increases the likelihood that the project will be abandoned, although this effect is less pronounced. Finally, we illustrate the impact of risk aversion on the optimal suspension and resumption thresholds and the interaction among risk aversion, volatility, and optimal decision thresholds under complete operational flexibility.
Journal: European Journal of Operational Research - Volume 213, Issue 1, 16 August 2011, Pages 221–237