Capital budgeting under uncertainty - An integrated approach using contingent claims analysis and integer programming
成果类型：
Article
署名作者：
Meier, H; Christofides, N; Salkin, G
署名单位：
University of Bonn; Imperial College London
刊物名称：
OPERATIONS RESEARCH
ISSN/ISSBN：
0030-364X
DOI：
10.1287/opre.49.2.196.13531
发表日期：
2001
页码：
196-206
关键词：
摘要：
Recently the application of contingent claims analysis and dynamic programming to project evaluation has attracted a let of attention. These techniques are required, for example! if the value of a project develops stochastically over time and the decision to invest into this project can be postponed. Yet. so far there are no considerations regarding how this perception of projects reflects on a capital budgeting situation. We propose two approaches that integrate these methods with traditional capital budgeting, models. A simple capital budgeting model can be formulated as the problem of finding time portfolio of options that has maximal value and fulfils the capitol expenditure constraint. However, this model has some shortcomings regarding its applicability in traditional budgeting situations. Therefore, we define an alternative optimisation model that uses scenarios to depict a set of possible future states. The optimal portfolio is then equivalent to a dynamic investment strategy that determines a number of state-dependent optimal portfolios.