2008年新书Portfolios of Real Options

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<p> 223715.rar (3.15 MB, 需要: 5 个论坛币) 本附件包括：

• front-matter.pdf
• 1.pdf
• 2.pdf
• 3.pdf
• 4.pdf
• 5.pdf
• 6.pdf
• back-matter.pdf

2008-6-30 10:29:00 上传

高调回应需要实物期权资料的朋友:2008年新书Portfolios of Real Options
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<br/></p><p><font color="#f70938">font></p><p>1Introduction ..................................................1<br/>1.1ResearchQuestions.......................................3<br/>1.2ContributionandMainResults............................3<br/>1.3Structure.................................................5<br/>2PortfolioApproachtoRealOptions............................7<br/>2.1MotivationofthePortfolioApproachtoRealOptions.......7<br/>2.1.1RealOptionsandFinancialOptions.................7<br/>2.1.2De?nitionofPortfoliosofRealOptions..............11<br/>2.1.3DifferenceBetweenFinancialPortfoliosand<br/>PortfoliosofRealOptions...........................12<br/>2.2ImplicationsforModelingApproach.......................13<br/>2.2.1PortfolioAspects...................................14<br/>2.2.2ManagementofPortfoliosofRealOptions...........15<br/>2.2.3TranslationintoModelFeatures.....................16<br/>3LiteratureReview .............................................21<br/>3.1FinancialPortfolioTheory.................................21<br/>3.1.1Mean¨CVariancePortfolioAnalysis...................2<br/>3.1.1.1TraditionalMarkowitzPortfolioSelection....22<br/>3.1.1.2CapitalAssetPricingModel................25<br/>3.1.1.3IntertemporalCapitalAssetPricingModel<br/>andConsumption..........................26<br/>3.1.1.4ArbitragePricingTheory...................27<br/>3.1.1.5ConclusiononMean¨CVariancePortfoli<br/>Analysis...................................27<br/>3.1.2AdvancedFinancialPortfolioAnalysis...............28<br/>3.1.2.1PortfolioAnalysisConsideringHigher<br/>MomentsofDistributions...................28</p><p>XIIContents<br/>3.1.2.2AllowingforFrictionsintheManagementof<br/>Portfolios..................................29<br/>3.1.2.3ImpactofCombiningFinancialAssetswith<br/>FinancialOptions..........................29<br/>3.1.2.4PortfolioImplicationsforRiskManagement.31<br/>3.1.2.5ConclusiononAdvancedFinancialPortfolio<br/>Analysis...................................31<br/>3.2CorporateCapitalBudgeting..............................32<br/>3.2.1Overview..........................................32<br/>3.2.2PortfolioPerspectiveinCorporateCapitalBudgeting.33<br/>3.2.3Interdependencies..................................34<br/>3.2.4ConclusiononCorporateCapitalBudgeting.........36<br/>3.3FinancialandRealOptionsTheory.........................36<br/>3.3.1FoundationsofRealOptions........................36<br/>3.3.2RealOptionsAnalysisinaPortfolioContext.........37<br/>3.3.3DetailedReviewofRelatedPapers..................40<br/>3.3.3.1Kulatilaka(1988)...........................40<br/>3.3.3.2KulatilakaandTrigeorgis(1994).............42<br/>3.3.4ConclusiononFinancialandRealOptionsTheory....44<br/>4ValuationModelforPortfoliosofRealOptions ................45<br/>4.1ModelFeatures...........................................45<br/>4.1.1GeneralAssumptions...............................45<br/>4.1.2ObjectiveFunction.................................46<br/>4.1.3ManagerialActionsPermitted.......................46<br/>4.1.4RiskPreference.....................................47<br/>4.1.5StochasticProcesses................................48<br/>4.1.6VolatilityandCorrelation...........................48<br/>4.1.7Inter¨CandIntra¨CProjectOptionsInteractions.........<br/>4.1.8GlobalDynamicBudgets...........................50<br/>4.1.9SynergiesandOperationalConstraints...............52<br/>4.1.10Learning...........................................52<br/>4.1.11Diversi?cationasaPassiveApproachtoRisk<br/>Management.......................................53<br/>4.1.12Path¨CDependencies.................................5<br/>4.1.13ModelingApproachandSolution...................54<br/>4.1.14Scalability.........................................56<br/>4.2BinomialOptionPricing..................................56<br/>4.2.1StochasticProcessesandSystemStateSpace.........56<br/>4.2.2BinomialOptionPricingModelwithOneUnderlying<br/>Asset..............................................57<br/>4.2.3BinomialOptionPricingModelwithTwoUnderlying<br/>Assets.............................................58</p><p>4.3RealOptionsPortfolioModel..............................61<br/>4.3.1SwitchingBetweenModes..........................61<br/>4.3.2SwitchingFormulationforOneUnderlyingAsset....63<br/>4.3.3SwitchingFormulationforTwoUnderlyingAssets...64<br/>4.3.4StochasticMixed¨CIntegerProgramFormulation......6<br/>4.3.4.1OneUnderlyingAsset......................66<br/>4.3.4.2TwoUnderlyingAssets.....................71<br/>4.3.4.3 n¨CDimensionalModelFormulation..........7<br/>4.4ModelExtensions.........................................78<br/>4.4.1AlternativeProbabilityFormulation.................78<br/>4.4.2ChangeoftheUnderlyingStochasticProcesses.......80<br/>4.4.3ExplicitModelingofSynergies......................81<br/>4.4.4OperatingandOtherConstraints....................82<br/>4.4.5TerminalValues....................................82<br/>4.4.6FurtherGeneralizationsoftheModelFormulation....83<br/>4.5ModelDiscussion.........................................83<br/>4.5.1ApplicabilityofRisk¨CNeutralValuation..............8<br/>4.5.2NumericalEf?ciency...............................84<br/>4.5.2.1OptimalityofSolutionsandLinearization....84<br/>4.5.2.2DimensionalityoftheProblem..............86<br/>4.5.2.3IncreasingEf?ciencyoftheImplementation..87<br/>4.5.3MonteCarloSimulation............................90<br/>NumericalAnalysis ...........................................93<br/>5.1NumericalAnalysisforTwoUnderlyingAssets.............94<br/>5.1.1NumericalApplicationSettingforTwoUnderlying<br/>Assets.............................................94<br/>5.1.2OverallPortfolioEffects............................97<br/>5.1.3BudgetEffectsandOtherConstraints................98<br/>5.1.3.1OnePortfolio..............................100<br/>5.1.3.2RelativeAttractivenessofTwoPortfolios....103<br/>5.1.3.3GeneralizationofBudgetEffects.............105<br/>5.1.4VolatilityEffects....................................106<br/>5.1.5CorrelationEffects..................................109<br/>5.1.6StartingValueoftheUnderlyingAssetsEffects.......111<br/>5.1.7Path¨CDependencyEffects...........................11<br/>5.1.8DeviationsfromValueAdditivity...................114<br/>5.2ExtensionoftheNumericalAnalysistoThreeUnderlying<br/>Assets...................................................115<br/>5.2.1NumericalApplicationSettingforThreeUnderlying<br/>Assets.............................................115<br/>5.2.2CorrelationandRisk¨CNeutralProbabilities..........11<br/>5.2.3BaseCase..........................................119</p><p>XIVContents<br/>5.2.4ChangeinCorrelation..............................122<br/>5.2.5ChangeinBudget..................................123<br/>5.2.6ChangeinVolatility................................123<br/>5.3NumericalSummary......................................127<br/>6Conclusion ...................................................131<br/>6.1SummaryofResults......................................131<br/>6.2ManagerialImplications...................................135<br/>6.3FurtherApplicationsandFutureResearch..................136<br/>References ........................................................139<br/>Index .............................................................151</p><p></p>

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